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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Instituut - 1999
An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the degree of non-linearity of the instruments comprised in the portfolio and thewillingness to make restrictive assumptions on the underlying statistical distributions, a...
Persistent link: https://www.econbiz.de/10011256282
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Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Zou, Liang - Tinbergen Instituut - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...
Persistent link: https://www.econbiz.de/10011257579
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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - Tinbergen Instituut - 2013
the block-bootstrap test of ES violations of Jalal and Rockinger (2008). Using the false discovery rate methodology of … marginally the performance of the model, compared with weekly, monthly or even quarterly updates. The 90% confidence bands … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10011257409
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Ranking Systemically Important Financial Institutions
Dungey, Mardi; Luciani, Matteo; Veredas, David - Tinbergen Instituut - 2012
We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the...
Persistent link: https://www.econbiz.de/10011255476
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Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration
Hallerbach, Winfried G. - Tinbergen Instituut - 2000
Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...
Persistent link: https://www.econbiz.de/10011255499
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High-Frequency Technical Trading: The Importance of Speed
Scholtus, Martin; Dijk, Dick van - Tinbergen Instituut - 2012
This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs … of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for … delays larger than 50 milliseconds. In addition, the importance of speed for trading rule performance increases over time …
Persistent link: https://www.econbiz.de/10011255568
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Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009
This discussion paper resulted in an article in the <I>Journal of Financial Econometrics</I> (2012). Vol. 10, pages 354-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and...</p></i>
Persistent link: https://www.econbiz.de/10011255584
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Investor Sentiment and Employment
Montone, Maurizio; Zwinkels, Remco C.J. - Tinbergen Instituut - 2015
We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher employment growth worldwide; (2) lower labor productivity, as the...
Persistent link: https://www.econbiz.de/10011255878
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Aggregate Stock Market Illiquidity and Bond Risk Premia
Bouwman, Kees E.; Sojli, Elvira; Tham, Wing Wah - Tinbergen Instituut - 2012
We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock market illiquidity variable adds to the well established Cochrane-Piazzesi and Ludvigson-Ng factors. It explains 10%, 9%, 7%, and 7% of the one-year-ahead variation in the excess...
Persistent link: https://www.econbiz.de/10011256063
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The Determinants of CDS Bid-ask Spreads
Wojtowicz, Marcin - Tinbergen Instituut - 2014
We investigate the determinants of bid-ask spreads on corporate credit default swaps (CDSs). We find that proxies for dealer inventory costs such as variability of CDS premia and CDS trading volume explain as much as 80% of variation in CDS bid-ask spreads. We also analyze the influence of...
Persistent link: https://www.econbiz.de/10011256084