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Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572

several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH … model for analyzing the comovement of indexes in German equity markets. The model is implemented with an ARMA-GARCH model … skewed Student's t copula ARMA(1,1)-GARCH(1,1) model with Lévy fractional stable noise is superior to alternative models …

Persistent link: https://www.econbiz.de/10005046500

VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

McAleer, Michael; Hakim, Hakim, A. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillovers...

Persistent link: https://www.econbiz.de/10010731676

Dynamic Conditional Correlations for Asymmetric Processes

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …

Persistent link: https://www.econbiz.de/10010732622

The impact of wind power generation on the electricity price in Germany

Ketterer, Janina C. - In: Energy Economics 44 (2014) C, pp. 270-280

Germany. Using a GARCH model, I evaluate the effect of wind electricity generation on the level and the volatility of the …

Persistent link: https://www.econbiz.de/10011100128

Daily seasonality in crude oil returns and volatilities

Auer, Benjamin R. - In: Energy Economics 43 (2014) C, pp. 82-88

-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on … choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH. …

Persistent link: https://www.econbiz.de/10011100130

Jump processes in natural gas markets

Mason, Charles F.; A. Wilmot, Neil - In: Energy Economics 46 (2014) S1, pp. 69-69

Many analysts believe that natural gas will have an increasingly important role in the next few decades. Accordingly, understanding the underpinnings of natural gas prices is likely to be critical, both to policy analysts and to market participants. At present, it is common to assume that these...

Persistent link: https://www.econbiz.de/10011115901

Macro determinants of volatility and volatility spillover in energy markets

Karali, Berna; Ramirez, Octavio A. - In: Energy Economics 46 (2014) C, pp. 413-421

We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric...

Persistent link: https://www.econbiz.de/10011115917

It Pays to Violate: How Effective are the Basel Accord Penalties?

McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...

Persistent link: https://www.econbiz.de/10010731585

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles; Mahieu, Ronald; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …

Persistent link: https://www.econbiz.de/10010731646

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles; Mahieu, Ronald; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2000

methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …

Persistent link: https://www.econbiz.de/10010731772