Narrow search
Showing 1 - 10 of 55
Cover Image
Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F.; Ardia, David; Corre, Nienke - Tinbergen Instituut - 2011
-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between …
Persistent link: https://www.econbiz.de/10011256766
Cover Image
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
quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10011257409
Cover Image
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
Allen, David E.; McAleer, Michael; Singh, Abhay K. - Tinbergen Instituut - 2014
three standard volatility models, namely GARCH, EGARCH and GJR. We use these alternative daily DJIA market sentiment scores …
Persistent link: https://www.econbiz.de/10011272574
Cover Image
Asymmetric Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10011272575
Cover Image
Cyclicality in Losses on Bank Loans
Keijsers, Bart; Diris, Bart; Kole, Erik - Tinbergen Instituut - 2015
Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
Persistent link: https://www.econbiz.de/10011272584
Cover Image
On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2014
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …
Persistent link: https://www.econbiz.de/10011272590
Cover Image
Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...
Persistent link: https://www.econbiz.de/10011272592
Cover Image
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2014
Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....
Persistent link: https://www.econbiz.de/10011272593
Cover Image
Volatility Spillovers from Australia's Major Trading Partners across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014
Kong markets have the greatest influence on the Australian one. We then move to a GARCH framework to apply further analysis … and apply a tri-variate Cholesky-GARCH model to explore the effects from the US and Chinese market, as represented by the …
Persistent link: https://www.econbiz.de/10011272594
Cover Image
On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2015
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …
Persistent link: https://www.econbiz.de/10011272596