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Bootstrapping Systems Cointegration Tests with a Prior Adjustment forDeterministic Terms

Trenkler, Carsten - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lüutkepohl (2000b) and Saikkonen,Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...

Persistent link: https://www.econbiz.de/10005861697

The Power of the KPSS-Test for Cointegrationwhen Residuals are Fractionally Integrated

Sibbertsen, Philipp; Krämer, Walter - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2005

We show that the power of the KPSS-test against inte-gration, as measured by divergence rates of the test statistic underthe alternative, remains the same when residuals from an OLS-regression rather than true observations are used.[...]

Persistent link: https://www.econbiz.de/10005867590

European Securitisation: A GARCH Model of CDO, MBS and Pfandbrief Spreads

Jobst, Andreas - 2003

reversion.Furthermore, spread volatility (conditional variance) is found to follow anasymmetric stochastic process contingent on …

Persistent link: https://www.econbiz.de/10005844580

On the Existence of theMoments of the AsymptoticTrace Statistic

Karaman Örsal, Deniz Dilan; Droge, Bernd - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

In this note we establish the existence of the first two moments of the asymptotic tracestatistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe-gration rank in a vector autoregressive model and whose moments may be used to developpanel cointegration tests....

Persistent link: https://www.econbiz.de/10008939788

Asymmetry in Tail Dependence of Equity Portfolios

Jondeau, Eric - National Centre of Competence in Research - Financial … - 2010

In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....

Persistent link: https://www.econbiz.de/10009487001

Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-stationary Return Series Model

Gürtler, Marc; Rauh, Ronald - Institut für Finanzwirtschaft <Braunschweig> - 2009

identically distributed normal returns, and as consequencedevelop an improved model for non-stationary returns. Therein volatility …

Persistent link: https://www.econbiz.de/10005869539

Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations

Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...

Persistent link: https://www.econbiz.de/10005858366

When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

Persistent link: https://www.econbiz.de/10009305103

Value-at-Risk and Expected Shortfall when there is long range dependence

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10005860751

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 … investigating long range dependencein the factor loadings series. Our result reveals that shocks to volatility persistfor a very …

Persistent link: https://www.econbiz.de/10005861020