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Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

Persistent link: https://www.econbiz.de/10011520881

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

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 microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source …-of-sample volatility forecasts are obtained with the realised volatility and the extended SV models; all these models contain in-formation … inherent in the high frequency returns. In the absence of the intraday volatility information, we find that the SV model …

Persistent link: https://www.econbiz.de/10011326944

Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010

Persistent link: https://www.econbiz.de/10003973286

Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010

We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...

Persistent link: https://www.econbiz.de/10011379607

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135

Systemic risk diagnostics

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...

Persistent link: https://www.econbiz.de/10011382067

Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015

This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample...

Persistent link: https://www.econbiz.de/10010484886

Modeling dynamic volatilities and correlations under skewness and fat tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

Persistent link: https://www.econbiz.de/10011386468