Showing 1 - 10 of 2,395
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio … comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean … profit and loss data and Value-at-Risk estimates of the 11 banks, the paper specifically models and analyzes the portfolio …
Persistent link: https://www.econbiz.de/10003846947
This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...
Persistent link: https://www.econbiz.de/10008939379
We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from ‘normal’ variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data...
Persistent link: https://www.econbiz.de/10009793263
This paper applies a local-linear non-parametric kernel regression technique to examine the effect of macroeconomic factors on stock market performance in Ghana. We show that the popular parametric specification in the existing literature suffers from functional misspecification. The evidence...
Persistent link: https://www.econbiz.de/10011526923
estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few … underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR …
Persistent link: https://www.econbiz.de/10013128339
We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk … model-free implied variation measures for estimating the corresponding risk neutral expectations …
Persistent link: https://www.econbiz.de/10013133667
of the variance risk premium (VRP). Moreover, provided the physical and the risk -- neutral probability measures are …
Persistent link: https://www.econbiz.de/10013117444
In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...
Persistent link: https://www.econbiz.de/10013124712
Persistent link: https://www.econbiz.de/10013107974
parameters: the implied volatility and the implied average cumulative risk free interest rate. They can be found unconditionally …
Persistent link: https://www.econbiz.de/10013082698