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Intertemporale Diversifikation im VAR-Ansatz : Erklärung "paradoxer Phänomene" bei langen Prognosezeiträumen
Eberts, Elke - 2003
Vorliegendes Arbeitspapier analysiert die Einflüsse intertemporaler Renditezusammenhänge und fester Startwerte in Vektorautoregressions-(VAR-) Modellen für stetige Renditen anhand des Vergleichs mit einem statischen Random-Walk-Modell.
Persistent link: https://www.econbiz.de/10005842330
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Combination ofmultivariate volatilityforecasts
Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...
Persistent link: https://www.econbiz.de/10005865451
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Non-Linear Predictability in Stock and Bond Returns:When and Where Is It Exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - Manchester Business School - 2008
We systematically examine the comparative predictive performance of a number of alternativelinear and non-linear models for stock and bond returns in the G7 countries. Besides Markovswitching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regimeswitching...
Persistent link: https://www.econbiz.de/10005870517
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Value-at-Risk and Expected Shortfall when there is long range dependence
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often 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...
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 … theIV S itself and their movements across time by a multivariate time series offactor loadings. This paper focuses on … long time, affecting significantly stock prices. For appropriaterepresentation of the series dynamics and the possibility …
Persistent link: https://www.econbiz.de/10005861020
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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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European Securitisation: A GARCH Model of CDO, MBS and Pfandbrief Spreads
Jobst, Andreas - 2003
more accurate estimators of time-varying forecast confidence intervals.On the basis of CDO, MBS and Pfandbrief transactions …
Persistent link: https://www.econbiz.de/10005844580
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Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?
Cappiello, Lorenzo - 2000
This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).
Persistent link: https://www.econbiz.de/10005843151
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International CAPM with Regime Switching GARCH Parameters
Capiello, Lorenzo; Fearnley, Tom A. - 2000
This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.
Persistent link: https://www.econbiz.de/10005843221
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Asset Allocation under Multivariate Regime Switching
Guidolin, Massimo; Timmermann, Allan - Manchester Business School - 2006
time as investors revise their estimates of thestate probabilities. In the crash state, buy-and-hold investors allocate …
Persistent link: https://www.econbiz.de/10005870161