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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K. - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10010324702
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang Karl; Mungo, Julius - 2008
, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …
Persistent link: https://www.econbiz.de/10010274140
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Risk measurement and management in a crisis-prone world
Wong, Woon K.; Copeland, Laurence - 2008
The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk measures, namely Value-at-Risk (VaR) and...
Persistent link: https://www.econbiz.de/10010288831
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10010324426
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10010324963
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Stale information, shocks and volatility
Gropp, Reint E.; Kadareja, Arjan - 2006
We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...
Persistent link: https://www.econbiz.de/10011604732
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Special Issue on Using Econometrics for Assessing Economic Models: An Introduction
Jusélius, Katarina - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-28, pp. 1-20
Two methodological approaches to empirical economics which are labelled 'theory first' versus 'reality first' are introduced building the background for the discussion of the individual contributions to this special issue.
Persistent link: https://www.econbiz.de/10010298646
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Gauging risk with higher moments: Handrails in measuring and optimising conditional value at risk
Bugár, Gyöngyi; Maurer, Raimond H.; Vo, Huy Thanh - 2009
value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated … different confidence levels for CVaR, and the contribution of the identified factors in explaining CVaR was determined … preferences. In addition, portfolio optimisation was performed in the mean-CVaR framework characterised by using CVaR as a measure …
Persistent link: https://www.econbiz.de/10010275840
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Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Upper, Christian; Werner, Thomas - 2002
The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10010295741
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10010298290