Similar Search Results

Measuring and Modeling Risk Using High-Frequency Data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so …{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

Persistent link: https://www.econbiz.de/10005860514

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

Out-Of-Sample Comparisons of Overfit Models

Calhoun, Gray - Iowa State University of Science and Technology <Ames, … - 2011

This paper uses dimension asymptotics to study why overfit linear regression models shouldbe compared out-of-sample; we let the number of predictors used by the larger model increasewith the number of observations so that their ratio remains uniformly positive. Under this limittheory, the naive...

Persistent link: https://www.econbiz.de/10009360683

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

Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power

Polzehl, Jörg; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...

Persistent link: https://www.econbiz.de/10005854708

Der Aktienmarktverbund zwischen Deutschland und den USA : Ergebnisse einer Kointegrationsstudie

Eberts, Elke - 2002

Das vorliegende Papier verfolgt, den empirischen Zusammenhang zwischen den realen Aktienmarktniveaus von Deutschland und den USA zur Aktienmarktprognose zu verwenden ...

Persistent link: https://www.econbiz.de/10005842119

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

Persistent link: https://www.econbiz.de/10005858728

The Accuracy of Long-term Real Estate Valuations

Schulz, Rainer; Staiber, Markus; Wersing, Martin; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

By using a unique data set of single-family house transactions, we examine theaccuracy of the cost and sales comparison approach over different forecast horizons. We find that sales comparison values provide better long-term forecaststhan cost values if the economic loss function is symmetric. A...

Persistent link: https://www.econbiz.de/10005860577

House Prices and Replacement Cost: A Micro-Level Analysis

Schulz, Rainer; Werwatz, Axel - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

According to housing investment models, house prices and replacement costshould have an equilibrating relationship. Previous empirical work|mainlybased on aggregate-level data|has found only little evidence of such a relationship.By using a unique data set, covering transactions of...

Persistent link: https://www.econbiz.de/10005860743

1
2
3
4
5
6
7
8
9
10
Next
Last