Narrow search
Showing 1 - 10 of 87
Cover Image
Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long-run from short-run components. We allow for smooth changes in the unconditional...
Persistent link: https://www.econbiz.de/10010607142
Cover Image
Localising Forward Intensities for Multiperiod Corporate Default
Prastyo, Dedy Dwi; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
1991 to 2011, we estimate default probabilities over various prediction horizons. The prediction performance is evaluated … against the global FIA that employs all past observations. For the six months prediction horizon, the local adaptive FIA … performs with the same accuracy as the benchmark. The default prediction power is improved for the longer horizon (one to three …
Persistent link: https://www.econbiz.de/10010895343
Cover Image
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
Cover Image
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
Cover Image
Stochastic Population Forecast for Germany and its Consequence for the German Pension System
Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …
Persistent link: https://www.econbiz.de/10005207943
Cover Image
Quantile Regression in Risk Calibration
Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...
Persistent link: https://www.econbiz.de/10009651900
Cover Image
Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions. A monotonized double kernel local linear estimator is applied to estimate moderate (1%)...
Persistent link: https://www.econbiz.de/10008629520
Cover Image
Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power
Polzehl, Jörg; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...
Persistent link: https://www.econbiz.de/10005677893
Cover Image
Forecasting Euro-Area Variables with German Pre-EMU Data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the period 1970Q1 - 2003Q4 for ten macroeconomic...
Persistent link: https://www.econbiz.de/10005677971
Cover Image
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