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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...
Persistent link: https://www.econbiz.de/10012910119
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A Less Volatile Value-At-Risk Estimation Under A Semi-Parametric Approach
Huang, Shih-Feng; Wang, David K. - 2022
In this paper, we propose a two-step less volatile value-at-risk (LVaR) estimation using the generalized nearly …-isotonic regression (GNIR) model. The first step of our LVaR estimation is to produce a VaR sequence under the generalized autoregressive …
Persistent link: https://www.econbiz.de/10013290709
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …
Persistent link: https://www.econbiz.de/10003636008
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Volatility transmission across financial markets : a semiparametric analysis
Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13
This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...
Persistent link: https://www.econbiz.de/10012322368
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Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns
Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
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The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets
Buncic, Daniel - 2016
We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross-section of 18 international equity markets, using daily realized measures data from the Oxford-Man Realized Library, and two widely employed empirical models for realized volatility...
Persistent link: https://www.econbiz.de/10012983715
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Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric Methods
Fičura, Milan - 2017
Non-parametric approach to financial time series jump estimation, using the L-Estimator, is compared with the … long-term clustering, as well as co-jumps. In addition to that, a comparison is performed on the real world daily time … series of 4 major currency exchange rates. The results from the simulation study show that for the purposes of in …
Persistent link: https://www.econbiz.de/10012964932
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Volatility Forecasting with Double Markov Switching GARCH Models
Chen, Cathy W. S. - 2009
work to incorporate Markov switching in the mean and variance simultaneously. Parameter estimation and inference are …
Persistent link: https://www.econbiz.de/10013159442