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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10009665551
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Testing Monotonicity of Pricing Kernels
Golubev, Yuri; Härdle, Wolfgang; Timonfeev, Roman - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …
Persistent link: https://www.econbiz.de/10005860758
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Testing monotonicity of pricing Kernels
Golubev, Yuri (contributor); Härdle, Wolfgang (contributor) - 2008
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described … level in 2002 and at 10% significance level in 2000. -- Risk Aversion ; Pricing kernel …
Persistent link: https://www.econbiz.de/10003635940
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Testing Monotonicity of Pricing Kernels
Golubev, Yuri; Härdle, Wolfgang; Timonfeev, Roman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …
Persistent link: https://www.econbiz.de/10005677887
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Dynamic Semiparametric Factor Models in RiskNeutral Density Estimation
Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
inference based on their lowerdimensional representation. We apply DSFM to estimate the dynamic structure of risk neutral …
Persistent link: https://www.econbiz.de/10005860527
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Value-at-Risk and Expected Shortfall when there is long range dependence
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
-term contracts. On the other hand, recent focus is on whether long memorycan affect the measurement of market risk in the context of … Value-at-Risk (VaR). In this paper, we evaluate the Value-at-Risk (VaR) and Expected Shortfall (ESF) in financial markets … under such conditions. We examine one equity portfolio, the British FTSE100 and three stocks of the German DAX index …
Persistent link: https://www.econbiz.de/10005860751
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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
The volatility implied by observed market prices as a function of the strikeand time to maturity form an Implied Volatility Surface (IV S). Practicalapplications require reducing the dimension and characterize its dynamicsthrough a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10005861020
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Time Series Modelling with Semiparametric Factor Dynamics
Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
High-dimensional regression problems which reveal dynamic behavior are typicallyanalyzed by time propagation of a few number of factors. The inference on thewhole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...
Persistent link: https://www.econbiz.de/10005861034
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A Generalized ARFIMA Process with Markov-Switching Fractional DifferencingParameter
Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10005861035
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A generalized ARFIMA process with Markov-switching fractional differencing parameter
Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10003633683