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Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
Härdle, Wolfgang; Osipenko, Maria - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives. Equilibrium models based on partial market clearing became a useful tool for pricing such kind of financial instruments. In a multi-period equilibrium pricing model agents rebalance...
Persistent link: https://www.econbiz.de/10009275681
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Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10008727350
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Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series
Hautsch, Nikolaus; Schuamburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so … distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … identified intervals of homogenous dependence. This paper summarizes the important aspects of (V)MEM, its estimation and a …
Persistent link: https://www.econbiz.de/10010587716
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Generalized Exogenous Processes in DSGE: A Bayesian Approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a …
Persistent link: https://www.econbiz.de/10011207678
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Modelling Financial High Frequency Data Using Point Processes
Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point …
Persistent link: https://www.econbiz.de/10005678003
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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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Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes.
Fischer, Matthias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li & Rouwenhorst, 2005) specify the unknown correlations as...
Persistent link: https://www.econbiz.de/10005652781
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Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...
Persistent link: https://www.econbiz.de/10010691293
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Financial Network Systemic Risk Contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We propose the realized systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...
Persistent link: https://www.econbiz.de/10011277260
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Forecasting systemic impact in financial networks
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for timely systemic risk monitoring of large European banks and...
Persistent link: https://www.econbiz.de/10011277290