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than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10010276212
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10010276254
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...
Persistent link: https://www.econbiz.de/10010326487
multivariate FIAPARCH framework is provided in terms of forecast error statistics and tests for equal forecast accuracy of the …
Persistent link: https://www.econbiz.de/10011422185
forecast accuracy shows. Therefore, the effciency gains of using a large data set with this kind of factor models seem to be …
Persistent link: https://www.econbiz.de/10010295521
direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …
Persistent link: https://www.econbiz.de/10010276226
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be …
Persistent link: https://www.econbiz.de/10010295724
forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …
Persistent link: https://www.econbiz.de/10010295725
counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown …
Persistent link: https://www.econbiz.de/10010281578
model. Based on this assumption the author drives the optimal updating rule for the forecast of the next period when new …
Persistent link: https://www.econbiz.de/10010298603