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Value-at-Risk and Expected Shortfall when there is long range dependence.
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10005678005
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A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10005678044
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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … the IV S itself and their movements across time by a multivariate time series of factor loadings. This paper focuses on … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …
Persistent link: https://www.econbiz.de/10005678046
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Adaptive Forecasting of the EURIBOR Swap Term Structure
Blaskowitz, Oliver; Herwatz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...
Persistent link: https://www.econbiz.de/10005207936
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10005207941
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Portfolio Value at Risk Based on Independent Components Analysis
Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...
Persistent link: https://www.econbiz.de/10005207944
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Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long-run from short-run components. We allow for smooth changes in the unconditional...
Persistent link: https://www.econbiz.de/10010607142
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Modeling and Forecasting Age-Specific Mortality: A Bayesian Approach
Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...
Persistent link: https://www.econbiz.de/10010609985
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Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions
Brüggemann, Ralf - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
This paper investigates the finite sample properties of confidence intervals for structural vector error correction models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation study compares methods that are frequently used in applied SVECM studies...
Persistent link: https://www.econbiz.de/10005677903
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Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach
Blaskowitz, Oliver; Herwartz, Helmut; Santiago, Gonzalo … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex–ante forecasting performance for...
Persistent link: https://www.econbiz.de/10005678035