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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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Continuous Beliefs Dynamics
Diks, Cees; van der Weide, Roy - 2003
We propose a general framework for studying the evolution ofheterogeneous beliefs in a dynamic feedback setting. Beliefsdistributions are defined on a continuous space representingthe possible strategies agents can choose from. Agents base theirchoices on past performances. As new information...
Persistent link: https://www.econbiz.de/10010324883
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Heterogeneity as a Natural Source of Randomness
Diks, Cees; van der Weide, Roy - 2003
We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base their choices on past performances, re-evaluating...
Persistent link: https://www.econbiz.de/10010324901
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Rising Inequalities in Income and Health in China: Who is left behind?
Baeten, Steef; Ourti, Tom Van; Doorslaer, Eddy Van - 2012
During the last decades, China has experienced double-digit economic growth rates and rising inequality. This paper implements a new decomposition on the China Health and Nutrition panel Survey (1991-2006) to examine the extent to which changes in level and distribution of incomes and in income...
Persistent link: https://www.econbiz.de/10010326333
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Preference Elicitation in Generalized Data Envelopment Analysis - In Search of a New Energy Balance in Japan
Suzuki, Soushi; Nijkamp, Peter; Rietveld, Piet - 2013
The recent dramatic change in energy supply in Japan has prompted a search for a new energy-environment-economic efficiency policy, in which a compromise has to be found between a sufficient supply of energy resources, the development of low carbon emission technology, and a continuation of...
Persistent link: https://www.econbiz.de/10010326397
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Generalization of Binomial Coefficients to Numbers on the Nodes of Graphs
Khmelnitskaya, Anna; van der Laan, Gerard; Talman, Dolf - 2016
The triangular array of binomial coefficients, or Pascal's triangle, is formed by starting with an apex of 1. Every row of Pascal's triangle can be seen as a line-graph, to each node of which the corresponding binomial coefficient is assigned. We show that the binomial coefficient of a node is...
Persistent link: https://www.econbiz.de/10011451527
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K. - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10010324702
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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - 2013
quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10010326343
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A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014
over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …
Persistent link: https://www.econbiz.de/10010377229
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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