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Stock volatility in the periods of booms and stagnations
Kaizoji, Taisei - 2010
time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties …The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in … periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the …
Persistent link: https://www.econbiz.de/10011524072
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael; Schmieder, Christian - 2007
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...
Persistent link: https://www.econbiz.de/10010295926
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Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre - 2011
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10010326055
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Volatility-price relationships in power exchanges: A demand-supply analysis
Sapio, Sandro - 2008
The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where...
Persistent link: https://www.econbiz.de/10010328635
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Understanding volatility dynamics in the EU-ETS market:lessons from the future
Sanin, María Eugenia; Violante, Francesco - Center for Operations Research and Econometrics … - 2009
In this paper we study the short term price behavior of December 2008 future prices for EU emissionallowances. We model returns and volatility dynamics of this price showing that a standard ARMA-GARCHframework is not adequate and that the gaussianity assumption is rejected due to the occurrence...
Persistent link: https://www.econbiz.de/10005868650
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Risk spillovers in international equity portfolios
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012
We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...
Persistent link: https://www.econbiz.de/10010407672
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Volatility-price relationships in power exchanges : a demand-supply analysis
Sapio, Sandro (contributor) - 2008
The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where...
Persistent link: https://www.econbiz.de/10003746245
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Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10011386468
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Stochastic Models for Risk Estimation in Volatile Markets : A Survey
Stoyanov, Stoyan V. - 2010
Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss how these three essential components can be combined...
Persistent link: https://www.econbiz.de/10013134877
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Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
Deschamps, Philippe J. - 2012
Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...
Persistent link: https://www.econbiz.de/10013105412