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Kahl, Christian - 2015

This document offers an overview of analytical properties of volatility control indices,including the statistical bias, comparing various volatility estimators and the impact of stochastic interest rates on long-dated volatility target indices

Persistent link: https://www.econbiz.de/10013010458

Interest rates liberalization or economy control : the case of the Chinese banking system

Mihai-Yiannaki, Simona; Rios-Morales, Ruth - In: Journal of transnational management : the official … 20 (2015) 2, pp. 87-106

Persistent link: https://www.econbiz.de/10011392869

Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

Persistent link: https://www.econbiz.de/10011392904

The role of the loss function in value-at-risk comparisons

Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010516723

Time-varying conditional Johnson Su density in Value-at-Risk methodology

Cayton, Peter Julian; Mapa, Dennis - In: The Philippine review of economics : a joint … 52 (2015) 1, pp. 23-44

Persistent link: https://www.econbiz.de/10011416114

Bitcoin, gold and the dollar : a GARCH volatility analysis

Dyhrberg, Anne Haubo - 2015

This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index. Additionally bitcoin can be used...

Persistent link: https://www.econbiz.de/10011347560