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Modeling latent variables in economics and finance
Bluteau, Keven - 2019
–regime and Markov-switching GARCH (MSGARCH) models, from a risk management perspective. I find that, for daily, weekly, and ten … étude à grande échelle empirique pour comparer la` performance de prévision de modèle GARCH sans changement de régime et de … modèle GARCH à changement de régimes Markovien (MSGARCH) du point de vue d’un gestionnaire des risques. Les résultats …
Persistent link: https://www.econbiz.de/10012055679
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How informative are variance risk premium and implied volatility for Value-at-Risk prediction? : international evidence
Slim, Skander; Dahmene, Meriam; Boughrara, Adel - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 22-37
Persistent link: https://www.econbiz.de/10012417081
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Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto Distribution
Sigaukea, Caston; Makhwiting, Rhoda M.; Lesaoana, Maseka - In: African review of economics & finance : AREF : (a … 6 (2014) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10010422319
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Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350
Persistent link: https://www.econbiz.de/10008811307
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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
Persistent link: https://www.econbiz.de/10012292347
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GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David; Hoogerheide, Lennart F. - In: Economics letters 123 (2014) 2, pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
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How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo; Halbleib, Roxana - 2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...
Persistent link: https://www.econbiz.de/10012317619
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Realized quantiles
Dimitriadis, Timo; Halbleib, Roxana - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1346-1361
Persistent link: https://www.econbiz.de/10013539526
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Pricing and hedging options with GARCH-stable proxy volatilities
Mozumder, Sharif; Kabir, Humayun; Dempsey, Michael - In: Applied economics 50 (2018) 56, pp. 6034-6046
Persistent link: https://www.econbiz.de/10012063384
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796