Narrow search
Showing 1 - 10 of 13,002
Cover Image
A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark...
Ventosa, Daniel - Departament d'Economia i Història Econòmica, …
Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless,...
Persistent link: https://www.econbiz.de/10005823941
Cover Image
Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - Tinbergen Institute - 2005
volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …
Persistent link: https://www.econbiz.de/10005137272
Cover Image
Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - Tinbergen Instituut - 2005
volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …
Persistent link: https://www.econbiz.de/10011257593
Cover Image
A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro
Cerović, Julija; Lipovina-Božović, Milena; … - In: Business Systems Research 6 (2015) 1, pp. 36-55
Background: The concept of value at risk gives estimation of the maximum loss of financial position at a given time for a given probability. The motivation for this analysis lies in the desire to devote necessary attention to risks in Montenegro, and to approach to quantifying and managing risk...
Persistent link: https://www.econbiz.de/10011272289
Cover Image
Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of Econometrics 172 (2013) 2, pp. 292-306
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010608465
Cover Image
Stable Mixture GARCH Models
BRODA, Simon A.; HAAS, Markus; KRAUSE, Jochen; …
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010680448
Cover Image
Refining the Distribution of GARCH Models : Application to Stock Indexes Returns
BenSaïda, Ahmed - 2009
GARCH models have been extensively used in risk modeling under the normal distribution. Although they generate highly significant coefficient estimates, these models are known to have poor forecasting power. It is therefore interesting to develop a different approach of risk modeling to improve...
Persistent link: https://www.econbiz.de/10012721359
Cover Image
A Stochastic Volatility Model with Fat Tails, Skewness and Leverage Effects
Smith, Daniel R. - 2007
We develop a new stochastic volatility model that captures the three most important features of stock index returns …: negative correlation between returns and future volatility, excess kurtosis and negative skewness. We estimate the model … parameters by maximum likelihood using a numerical integration-based filter to deal with the latent nature of volatility. In this …
Persistent link: https://www.econbiz.de/10012728440
Cover Image
Pay Attention to Valuation
Baryshevsky, Dmitry V. - 2004
In the article the two approaches to the market's valuation are considered. The first one is based on using of the model of alternative investments, which is the second approximation for the Fed's model. The role of the model of alternative investments has increased for last 25 years since it...
Persistent link: https://www.econbiz.de/10012738376
Cover Image
A Forecast Comparison of Volatility Models : Does Anything Beat a Garch(1,1)?
Hansen, Peter Reinhard - 2004
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is...
Persistent link: https://www.econbiz.de/10012739179