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Problems related to deterministic solution of nonlinear econometric models are well known in the literature. The use of mean (average) stochastic simulation results has been usually proposed to solve the problem of bias. This raises however other types of problems, like possible non-coherent...
Persistent link: https://www.econbiz.de/10015222352
Country risk and sovereign risk are two of the most important topics in risk management. The first part of this work introduces these concepts and shows the differences between them. The following chapters fit linear and ordinal regression models to a data-set with more than 100 countries, where...
Persistent link: https://www.econbiz.de/10015232126
In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility, two scales realized volatility, realized kernel as well as the daily range. We propose a dynamic model with a flexible trend...
Persistent link: https://www.econbiz.de/10005075734
The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the...
Persistent link: https://www.econbiz.de/10005731535
Multiplicative Error Models (MEM) can be used to trace the dynamics of non–negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....
Persistent link: https://www.econbiz.de/10005731539
In financial time series analysis we encounter several instances of non–negative valued processes (volumes, trades, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector of conditionally autoregressive scale factors and a...
Persistent link: https://www.econbiz.de/10005731543
The Multiplicative Error Model introduced by Engle (2002) for non-negative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multivariate extension of such a model, by taking...
Persistent link: https://www.econbiz.de/10005731544
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