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Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
new model achieves higher forecasting performance compared to a standard DCC model. …
Persistent link: https://www.econbiz.de/10010607142
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Measuring and Modeling Risk Using High-Frequency Data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10005678039
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Forecasting Euro-Area Variables with German Pre-EMU Data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …
Persistent link: https://www.econbiz.de/10005677971
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TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
Source extraction and dimensionality reduction are important in analyzing high dimensional and complex financial time series that are neither Gaussian distributed nor stationary. Independent component analysis (ICA) method can be used to factorize the data into a linear combination of...
Persistent link: https://www.econbiz.de/10009275680
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Localising Forward Intensities for Multiperiod Corporate Default
Prastyo, Dedy Dwi; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...
Persistent link: https://www.econbiz.de/10010895343
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State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...
Persistent link: https://www.econbiz.de/10010658762
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Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo; Schipp, Bernhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...
Persistent link: https://www.econbiz.de/10010607137
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Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Hautsch, Nikolaus; Podolskij, Mark - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10008461100
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Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different …
Persistent link: https://www.econbiz.de/10008629520
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Copula Dynamics in CDOs
Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...
Persistent link: https://www.econbiz.de/10011184070