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Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

Persistent link: https://www.econbiz.de/10014281494

Implied basket correlation dynamics

Härdle, Wolfgang; Silyakova, Elena - 2012

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …

Persistent link: https://www.econbiz.de/10009665551

Implied Basket Correlation Dynamics

Härdle, Wolfgang - 2016

Persistent link: https://www.econbiz.de/10012999402

Is there a nonlinear co-movement in the Eu countries' unemployment?

Camarero Olivas, Mariam; Ordóñez, Javier - In: Economics letters 93 (2006) 2, pp. 157-162

Persistent link: https://www.econbiz.de/10003391896

Option calibration of exponential Lévy models : implementation and empirical results

Söhl, Jakob; Trabs, Mathias - 2012

Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self-decomposable Lévy models and improve these methods....

Persistent link: https://www.econbiz.de/10009502936

Nonlinear GARCH Models for Highly Persistent Volatility

Lanne, Markku; Saikkonen, Pentti - 2005

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility persistence and exhibit poor forecasting ability. Our main...

Persistent link: https://www.econbiz.de/10014120167

A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Persistent link: https://www.econbiz.de/10009750074

Correlation vs. causality in stock market comovement

Weber, Enzo (contributor) - 2007

This paper seeks to disentangle the sources of correlations between high-, mid- and low-cap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components...

Persistent link: https://www.econbiz.de/10003635066

Implied basket correlation dynamics

Härdle, Wolfgang Karl; Silyakova, Elena - 2012

Persistent link: https://www.econbiz.de/10010318771

Value-at-Risk and Expected Shortfall When There Is Long Range Dependence

Härdle, Wolfgang - 2017

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

Persistent link: https://www.econbiz.de/10012966258