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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

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

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

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure.

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic ex–ante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

Persistent link: https://www.econbiz.de/10005489961

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

relevance to account for serial correlation in economic time series when testing for the value of directional forecasts. …

Persistent link: https://www.econbiz.de/10005652761

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

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

Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality

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/10005784846

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

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