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Improving the CARR model using extreme range estimators
Miralles Marcelo, José Luis; Miralles-Quirós, José Luis - In: Applied financial economics 23 (2013) 19/21, pp. 1635-1647
Persistent link: https://www.econbiz.de/10010259753
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Forecasting volatility with component conditional autoregressive range model
Wu, Xinyu; Hou, Xinmeng - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659660
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Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187
Persistent link: https://www.econbiz.de/10011888169
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Forecasting the risk of speculative assets by means of copula distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …
Persistent link: https://www.econbiz.de/10010292668
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Empirical performance of the Czech and Hungarian index options under jump
Lee, Gabriel S.; Boss, Michael; Klisz, Chris - 2001
find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We …
Persistent link: https://www.econbiz.de/10010292775
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Valid inference for a class of models where standard inference performs poorly: Including nonlinear regression, ARMA, GARCH, and unobserved components
Ma, Jun; Nelson, Charles R. - 2010
Pagan (1980)., We show that this test has nearly correct size in non-linear regression, ARMA, GARCH, and Unobserved …
Persistent link: https://www.econbiz.de/10010294011
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Semiparametric multivariate volatility models
Rombouts, Jeroen V. K.; Hafner, Christian M. - 2004
Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which consistency and asymptotic normality have been proven under quite general conditions. However, there may be a substantial efficiency loss of QMLE if the true innovation distribution...
Persistent link: https://www.econbiz.de/10010296410
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Forecasting sectoral trade growth under flexible exchange rates
Herwartz, Helmut; Weber, Henning - 2003
A huge body of empirical and theoretical literature has emerged on the relationship between exchange rate uncertainty and international trade. In empirical studies the estimated impacts of exchange rate uncertainty on trade figures are at most weak and often ambiguous with respect to their...
Persistent link: https://www.econbiz.de/10010296440
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Pricing of options under different volatility models
Herzberg, Markus; Sibbertsen, Philipp - 2004
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...
Persistent link: https://www.econbiz.de/10010296646
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Structural Change and long memory in the GARCH(1,1)-model
Azamo, Baudouin Tameze; Krämer, Walter - 2006
It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the …
Persistent link: https://www.econbiz.de/10010296748