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New evidence on fungibility at the aggregate level

Marć, Łukasz - 2012

Persistent link: https://www.econbiz.de/10009723004

The monetary exchange rate model as a long-run phenomenon

Groen, Jan J. J. - 1998

pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance …

Persistent link: https://www.econbiz.de/10011299983

Value-at-risk and extreme returns

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

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

Persistent link: https://www.econbiz.de/10011441709

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

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

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

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

Wage dynamics and promotions inside and between firms

Silva, António Dias da; Klaauw, Bas van der - 2006

We focus on the dynamic relation between wage increases, promotions and job changes. We relate our empirical analyses to the theoretical model of Gibbons and Waldman (1999). In the empirical analyses we use the Portuguese matched employer-employee data Quadros de Pessoal. We conclude from...

Persistent link: https://www.econbiz.de/10011349718