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The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates
Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19
A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model … August 2005–30 September 2016. As a benchmark, we take an ARMA-GARCH and an ARMAX-GARCHX with the 2y-yield difference as the …
Persistent link: https://www.econbiz.de/10011890808
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Financial Brownian particle in the layered order book fluid and fluctuation-dissipation relations
Yura, Yoshihiro; Takayasu, Hideki; Sornette, Didier; … - 2014
We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of a comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the...
Persistent link: https://www.econbiz.de/10010337982
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Physics and financial economics (1776 - 2014) : puzzles, ising and agent-based models
Sornette, Didier - 2014
This short review presents a selected history of the mutual fertilization between physics and economics, from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial economics compared with physics are dissected with the...
Persistent link: https://www.econbiz.de/10010411863
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Large financial markets, discounting, and no asymptotic arbitrage
Bálint, Dániel Ágoston; Schweizer, Martin - 2018 - This version: November 7, 2018
For a large financial market (which is a sequence of usual, “small” financial markets), we introduce and study a concept of no asymptotic arbitrage (of the first kind) which is invariant under discounting. We give two dual characterisations of this property in terms of (1) martingale-like...
Persistent link: https://www.econbiz.de/10011938231
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Properly discounted asset prices are semimartingales
Bálint, Dániel Ágoston; Schweizer, Martin - 2019 - This version: October 3, 2019
We study general undiscounted asset price processes, which are only assumed to be non- negative, adapted and RCLL (but not a priori semimartingales). Traders are allowed to use simple (piecewise constant) strategies. We prove that under a discounting-invariant condition of absence of arbitrage,...
Persistent link: https://www.econbiz.de/10012134260
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Making no-arbitrage discounting-invariant : a new FTAP beyond NFLVR and NUPBR
Bálint, Dániel Ágoston; Schweizer, Martin - 2018 - This version: March 16, 2018
In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious shortcoming that they depend crucially on the way prices are discounted. To avoid this economically unnatural behaviour, we introduce a new way of defining “absence of...
Persistent link: https://www.econbiz.de/10011899592
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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A fast, accurate method for value at risk and expected shortfall
Krause, Jochen; Paolella, Marc S. - 2014
exhibiting leptokurtosis, asymmetry, and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …
Persistent link: https://www.econbiz.de/10010412665
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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transport...
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)-GARCH (1,1) VaR, GARCH (1,1)-M VaR, IGARCH (1,1) VaR, EWMA VaR … surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior …
Persistent link: https://www.econbiz.de/10014497424
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Forecasting daily and monthly exchange rates with machine learning techniques
Plakandaras, Vasilios; Papadimitriou, Theophilos; … - In: Journal of forecasting 34 (2015) 7, pp. 560-573
Persistent link: https://www.econbiz.de/10011390457