Showing 1 - 6 of 6
This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model. In particular, it is found that the model tends to...
Persistent link: https://www.econbiz.de/10005212597
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by...
Persistent link: https://www.econbiz.de/10005212606
We analyze extensively the characteristics of the solution to an irreversibleinvestment decision when the only source of uncertainty comes from interest rates.They are assumed to be driven by the popular Cox-Ingersoll-Ross (CIR) stochasticprocess. Particular attention is paid to the impact that...
Persistent link: https://www.econbiz.de/10005731199
This paper deals with analysing and forecasting intradaily volatility in electricity spot prices. We analyse the hourly spot prices from the Argentine Electricity Market by grouping prices in three daily series (block bids). We estimate the VAR model for the conditional mean structure and...
Persistent link: https://www.econbiz.de/10005731287
The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...
Persistent link: https://www.econbiz.de/10005731376
This paper describes the evolution of the daily Euro overnight interestrate (EONIA) by using several models containing the jump component such asa single regime ARCH-Poisson-Gaussian process, with either a piecewisefunction or an autoregressive conditional specification (ARJI) for the...
Persistent link: https://www.econbiz.de/10005515915