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Measuring and modeling risk using high-frequency data

Härdle, Wolfgang (contributor); … - 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/10003727640

Copula dynamics in CDOs

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Overbeck, Ludger - 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/10009531437

Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics

Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - 2016

Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional AutoRegressive (VFAR) model to describe the dynamics of the limit order book and demand curves and utilize the tted model to predict the joint evolution of the liquidity demand...

Persistent link: https://www.econbiz.de/10011518802

Modelling general dependence between commodity forward curves

Zolotko, Mikhail; Okhrin, Ostap - 2012

GARCH ; hierarchical Archimedean copula ; Value-at-Risk …

Persistent link: https://www.econbiz.de/10009631566

Adaptive pointwise estimation in time-inhomogeneous time-series models

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2008

-coefficient parametric models, such as AR or GARCH, whose coefficients may arbitrarily vary with time. Global parametric, smooth transition … the particular case of GARCH estimation, the proposed method is applied to stock-index series and is shown to outperform … the standard parametric GARCH model. -- adaptive pointwise estimation ; autoregressive models ; conditional …

Persistent link: https://www.econbiz.de/10003635965

Time dependent relative risk aversion

Giacomini, Enzo (contributor); Handel, Michael (contributor) - 2006

Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors' behavior from...

Persistent link: https://www.econbiz.de/10003324340

New recipes for estimating default intensities

Baranovski, Alexander; Lieres, Carsten von; Wilch, André - 2009

This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral...

Persistent link: https://www.econbiz.de/10003796155

Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling

Baranovski, Alexander L. - 2010

In this paper we give a generalized model of the interest rates term structure including Nelson-Siegel and Svensson structure. For that we introduce a continuous m-factor exponential-polynomial form of forward interest rates and demonstrate its considerably better performance in a fitting of the...

Persistent link: https://www.econbiz.de/10008663410

Realized copula

Fengler, Matthias R.; Okhrin, Ostap - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10009537332

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10003633683

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