Showing 1 - 10 of 22
This paper provides Value-at-Risk estimates for daily stock returns with the application of various parametric univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We use daily data for three stock indexes of the Athens Stock Exchange...
Persistent link: https://www.econbiz.de/10004994338
This paper provides an analysis of asset allocation using univariate portfolio GARCH models from the Athens Stock Exchange. We use daily data for the period January 1997 to February 2005. Our analysis adopts the methodology due to Manganelli (2004) and we are able to recover from the univariate...
Persistent link: https://www.econbiz.de/10004994342
This paper examines the Purchasing Power Parity theory from a long-run perspective in the presence of a parallel or 'black' market for US dollars in Greece using monthly data for the recent float. Johansen's FIML multivariate cointegration techniques is applied. Recent development associated...
Persistent link: https://www.econbiz.de/10005511671
Persistent link: https://www.econbiz.de/10005504077
This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and the innovations follow a standardized form of the Pearson type-IV distribution. The performance of the model is examined by in sample and out of sample testing, and the...
Persistent link: https://www.econbiz.de/10010857990
This paper employs a new approach due to Engle and Manganelli (2004) in order to examine market risk in several major equity markets, as well as for major companies listed in New York Stock Exchange and Athens Stock Exchange. By interpreting the VaR as the quantile of future portfolio values...
Persistent link: https://www.econbiz.de/10004994300
Persistent link: https://www.econbiz.de/10005220937
Persistent link: https://www.econbiz.de/10005344148
Persistent link: https://www.econbiz.de/10005344157
Persistent link: https://www.econbiz.de/10005344170