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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010331352
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Market Risk Management in a Post-Basel II Regulatory Environment
Uroševic, Branko; Drenovak, Mikica; Rankovic, Vladimir; … - 2016
We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...
Persistent link: https://www.econbiz.de/10011615848
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High frequency vs. daily resolution: The economic value of forecasting volatility models 2nd ed
Lilla, Francesca - 2017
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011819006
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010237661
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Market risk management in a Post-Basel II regulatory environment
Urošević, Branko; Drenovak, Mikica; Ranković, Vladimir; … - 2016
We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...
Persistent link: https://www.econbiz.de/10011587953
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High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed
Lilla, Francesca - 2017
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011674479
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High frequency vs. daily resolution : the economic value of forecasting volatility models
Lilla, Francesca - 2016
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011730304
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Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution
Stavroyiannis, Stavros; Zarangas, Leonidas - In: Panoeconomicus 60 (2013) 2, pp. 231-247
This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and …
Persistent link: https://www.econbiz.de/10010857990
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Selection Criteria in Regime Switching Conditional Volatility Models
Chuffart, Thomas - In: Econometrics 3 (2015) 2, pp. 289-316
Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011276476
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Indirect estimation of GARCH models with alpha-stable innovations
Parrini, Alessandro - Volkswirtschaftliche Fakultät, … - 2012
heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly … weaknesses we apply GARCH-type models with alpha-stable innovations. The stable family of distributions constitutes a … GARCH(1,1) and a TGARCH(1,1) with symmetric stable shocks using as auxiliary model a GARCH(1,1) with skew-t innovations …
Persistent link: https://www.econbiz.de/10011260772