Showing 1 - 9 of 9
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …
Persistent link: https://www.econbiz.de/10013106309
What do academics have to offer market risk management practitioners in financial institutions? Current industry … practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …
Persistent link: https://www.econbiz.de/10012784980
Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...
Persistent link: https://www.econbiz.de/10013324645
and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications …
Persistent link: https://www.econbiz.de/10012787458
hold promise for the development of better decision making in practical situations of risk management, portfolio allocation …
Persistent link: https://www.econbiz.de/10012763285
Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies are typically observed with high-frequency intradaily...
Persistent link: https://www.econbiz.de/10012763898
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886
This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or...
Persistent link: https://www.econbiz.de/10012774970
We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and...
Persistent link: https://www.econbiz.de/10012777343