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In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the...
Persistent link: https://www.econbiz.de/10008810287
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...
Persistent link: https://www.econbiz.de/10011303812
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...
Persistent link: https://www.econbiz.de/10011410917
In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized …
Persistent link: https://www.econbiz.de/10015084442
volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …
Persistent link: https://www.econbiz.de/10010339759
Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...
Persistent link: https://www.econbiz.de/10013258038
This study develops a framework for forecasting selected balance sheet items of the four largest Maltese core banks, with a particular emphasis on bank profitability. Methodologically, it employs two multivariate time series models, namely a Factor-Augmented VAR (FAVAR) and a Bayesian VAR...
Persistent link: https://www.econbiz.de/10015053640
maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …
Persistent link: https://www.econbiz.de/10010472838
Persistent link: https://www.econbiz.de/10009012018
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