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Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
Salado, Alejandro Iván Aguirre; Huerta, Humberto Vaquera; … - In: Economía Mexicana NUEVA ÉPOCA XXII (2013) 1, pp. 177-205
combination of the autoregressive moving average models (ARMA); three different models of the arch family, one symmetric (GARCH …) and two asymmetric (GJR-GARCH and EGARCH); and the extreme value theory (EVT). The ARMA models were initially used to … obtain uncorrelated residuals, which were later used for the analysis of extreme values. The GARCH, EGARCH and GJR-GARCH …
Persistent link: https://www.econbiz.de/10010823163
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The Economic Value of Distributional Timing
Jondeau, Eric - 2007
We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a significant cost would arise. The performance...
Persistent link: https://www.econbiz.de/10012730895
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Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...
Persistent link: https://www.econbiz.de/10011109117
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Parametric Value-at-Risk analysis: Evidence from stock indices
Mabrouk, Samir; Saadi, Samir - In: The Quarterly Review of Economics and Finance 52 (2012) 3, pp. 305-321
long range memory, we examine GARCH-type models including fractionary integrated models under normal, Student-t and skewed … models that we have considered including widely used ones such as GARCH (1,1) or HYGARCH (1,d,1). The superior performance of …
Persistent link: https://www.econbiz.de/10010602927
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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007
The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...
Persistent link: https://www.econbiz.de/10005198022
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Long-Run and Short-Run Dynamics of the Exchange Rate in Pakistan: Evidence FromUnrestricted Purchasing Power Parity Theory
Khan, Muhammad Arshad; Qayyum, Abdul - In: Lahore Journal of Economics 13 (2008) 1, pp. 29-56
The main focus of this paper is to measure the speed of adjustment of the exchange rate by means of the persistent profile approach developed by Pesaran and Shin (1996) to examine the symmetry and proportionality assumptions of the purchasing power parity (PPP) theory of exchange rates for the...
Persistent link: https://www.econbiz.de/10010586242
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Conditional Dependency of Financial Series : The Copula-Garch Model
Jondeau, Eric - 2003
copula as a function of predetermined variables. The marginal model is an autoregressive version of Hansen's (1994) GARCH …
Persistent link: https://www.econbiz.de/10012739718
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Conditional Dependency of Financial Series : An Application of Copulas
Rockinger, Michael - 2001
marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to …
Persistent link: https://www.econbiz.de/10012742584
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Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - Institut für Volkswirtschaftslehre, … - 2015
capture and forecast the conditional time-varying joint distribution of the oil-stocks pair accurately. Our realized GARCH …
Persistent link: https://www.econbiz.de/10011213922
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Conditional Dependency of Financial Series: The Copula-GARCH Model
Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2002
copula as a function of predetermined variables. The marginal model is an autoregressive version of Hansen’s (1994) GARCH …
Persistent link: https://www.econbiz.de/10005248406