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CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …

Persistent link: https://www.econbiz.de/10012611178

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

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

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

Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data

Steiner, Christian; Groß, Anne; Entorf, Horst - 2009

in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

Persistent link: https://www.econbiz.de/10010298727

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

Persistent link: https://www.econbiz.de/10010333621

Modeling and Forecasting DAX Index Volatility

Lazarov, Zdravetz - 2004

The recent introduction of the realized variance measure defined as the sum of the squared intra-daily returns stamped on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new directions. First, the realized variance is a much better...

Persistent link: https://www.econbiz.de/10010263102

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Return based risk measures for non-normally distributed returns: An alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-48

Developments in the world of finance have led the authors to assess the adequacy of using the normal distribution assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence, this paper attempts to analyse statistical...

Persistent link: https://www.econbiz.de/10013201223

Volatility in international stock markets: An empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-17

countries based on GDP using a widely applied econometric model-generalized autoregressive conditional heteroscedasticity (GARCH … variance regressor in GARCH modeling, is found to be positive and significant for all market indices. Furthermore, the results …

Persistent link: https://www.econbiz.de/10012611427