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Inference for Continuous Semimartingales Observed at High Frequency : A General Approach
Mykland, Per A. - 2008
The econometric literature of high frequency data usually relies on moment estimators which are derived from assuming local constancy of volatility and related quantities. We here show that this first order approximation is not always valid if used naively. We find that such approximations...
Persistent link: https://www.econbiz.de/10012726107
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Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - Frankfurt School of Finance and Management - 2012
Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...
Persistent link: https://www.econbiz.de/10010957485
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Risk aggregation, dependence structure and diversification benefit
Bürgi, Roland; Dacorogna, Michel M; Iles, Roger - Volkswirtschaftliche Fakultät, … - 2008
Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include them in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits. To compute the...
Persistent link: https://www.econbiz.de/10009246890
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Nyquist Frequency in Sequentially Sampled Data
Faghih, Nezameddin; Faghih, Ali - Volkswirtschaftliche Fakultät, … - 2008
This paper studies the sequential sampling scheme as a solution to the problem of aliasing, where the sampling interval is restricted to a minimum allowable value. Sequential sampling is analyzed and it is proved that when the sampling ratio is an integral number, the associated spectral...
Persistent link: https://www.econbiz.de/10005619887
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Ajuste del ingreso en México con un enfoque bayesiano
Rivera, Fredy Yair Montes; Rodríguez, Paulino Pérez; … - In: Estudios Económicos 27 (2012) 2, pp. 273-293
In this work, three distributions are proposed (Pareto, Lognormal and Dagum) to model the income of Mexican population, by using the Bayesian approach. It was found that the Dagum model was the one that best describes the data. The posterior distributions of the quantities of interest were...
Persistent link: https://www.econbiz.de/10010736709
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Control variate method for stationary processes
Amano, Tomoyuki; Taniguchi, Masanobu - In: Journal of Econometrics 165 (2011) 1, pp. 20-29
The sample mean is one of the most natural estimators of the population mean based on independent identically distributed sample. However, if some control variate is available, it is known that the control variate method reduces the variance of the sample mean. The control variate method often...
Persistent link: https://www.econbiz.de/10011052330
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Comonotonic Monte Carlo and its applications in option pricing and quantification of risk
Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015
Monte Carlo (MC) simulation is a technique that provides approximate solutions to a broad range of mathematical problems. A drawback of the method is its high computational cost, especially in a high-dimensional setting. Estimating the Tail Value-at-Risk for large portfolios or pricing basket...
Persistent link: https://www.econbiz.de/10011194455
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …
Persistent link: https://www.econbiz.de/10010985133
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Discretization of Lévy semistationary processes with application to estimation
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - School of Economics and Management, University of Aarhus - 2014
Motivated by the construction of the Itô stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. Moreover, we assess the accuracy of the method with a particular focus on integrating kernels with a singularity at...
Persistent link: https://www.econbiz.de/10010885056
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REVIEW OF JOOP J. HOX MULTILEVEL ANALYSIS – TECHNIQUES AND APPLICATIONS, Second Edition, Routledge (2010)
HRITCU, Roxana-Otilia-Sonia - In: Review of Economic and Business Studies (2014) 13, pp. 191-195
becomes acquainted with some advanced modelling techniques that might be used, such as bootstrapping and Bayesian estimation …
Persistent link: https://www.econbiz.de/10010959965