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BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10011906446
It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...
Persistent link: https://www.econbiz.de/10012946531
In this paper, the author demonstrate a practical approach for measurement, management and control of market risk exposure for financial trading portfolios. This approach is based on the renowned concept of Liquidity-Adjusted Value at Risk (L-VaR) along with the creation of a software tool...
Persistent link: https://www.econbiz.de/10013227176
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10013110732
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
Value-at-Risk (VaR) has become a standard measure for risk management and regulation. In the case of a two-parameter distribution, a common method among practitioners is first to calculate the daily VaR and then to apply it to a longer investment horizon by using the Square Root Rule (SRR). We...
Persistent link: https://www.econbiz.de/10013144743
The Stein paradox has played an influential role in the field of high dimensional statistics. This result warns that the sample mean, classically regarded as the “usual estimator”, may be suboptimal in high dimensions. The development of the James-Stein estimator, that addresses this...
Persistent link: https://www.econbiz.de/10013213561
increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this …
Persistent link: https://www.econbiz.de/10010188011
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....
Persistent link: https://www.econbiz.de/10012029331
Persistent link: https://www.econbiz.de/10011714591