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Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

Persistent link: https://www.econbiz.de/10011301159

Relating stochastic volatility estimation methods

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386124

GARCH effects on a test of cointegration

Franses, Philip H.; Kofman, Paul; Moser, James - 1992

Persistent link: https://www.econbiz.de/10000122460

Nonstationarity in GARCH models : a Bayesian analysis

Kleibergen, Frank; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000122477

Quasi-maximum likelihood estimation of volatility with high frequency data

Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250

Persistent link: https://www.econbiz.de/10008839925

A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"

Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015

We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

Persistent link: https://www.econbiz.de/10011401308

Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach

Pozzi, Lorenzo - 2007

We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...

Persistent link: https://www.econbiz.de/10011372981

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...

Persistent link: https://www.econbiz.de/10011302131

Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

Persistent link: https://www.econbiz.de/10011335205