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Identifying the weights in exchange market pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...

Persistent link: https://www.econbiz.de/10011383023

Identifying the weights in exchange market pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....

Persistent link: https://www.econbiz.de/10011383120

Model-free measurement of exchange market pressure

Klaassen, Franc; Jager, Henk - 2006

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....

Persistent link: https://www.econbiz.de/10011350376

GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413

Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …

Persistent link: https://www.econbiz.de/10010384110

Improving density forecasts and value-at-risk estimates by combining densities

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - 2014 - This version: July 15, 2014

univariate volatility models (including HEAVY and Realized GARCH models), using daily returns from the S&P 500, DJIA, FTSE and …

Persistent link: https://www.econbiz.de/10010384112

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

On the phase dependence in time-varying correlations between time-series

Blasques, Francisco - 2013

Persistent link: https://www.econbiz.de/10010191407

Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key … issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given … about multivariate models of time-varying conditional covariance and correlation models. …

Persistent link: https://www.econbiz.de/10010250536

Long memory dynamics for multivariate dependence under heavy tails

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

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