Similar Search Results

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2009

; extreme value theory ; bootstrapping …

Persistent link: https://www.econbiz.de/10003891679

Hybrid Historical Simulation VaR and ES : Performance in Developed and Emerging Markets

Zikovic, Sasa - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10013155427

Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications

Ardia, David - 2009

This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH models. These models are widespread and essential tools in financial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique....

Persistent link: https://www.econbiz.de/10013156202

Risk measurement, econometrics and neural networks : selected articles of the 6th Econometric-Workshop in Karlsruhe, Germany

Bol, Georg (ed.); Abberger, Klaus (ed.); … - Karlsruher Ökonometrie-Workshop <6, 1997, Karlsruhe> - 1998

Persistent link: https://www.econbiz.de/10014013337

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall - 2009

Persistent link: https://www.econbiz.de/10010265962

Flight to Safety in Volatility Forecasting

Ruzzi, Dario - 2018

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH framework. In particular, we propose realized semi-covariance between falling equity and rising safe haven returns as a proxy of FTS and we use it to model the conditional distribution...

Persistent link: https://www.econbiz.de/10012916710

Relative forecasting performance of volatility models : Monte Carlo evidence

Lux, Thomas; Morales-Arias, Leonardo - 2010

A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized Autoregressive Conditional Heteroskedasticity...

Persistent link: https://www.econbiz.de/10003932329

Early Warning Systems : A Survey and a Regime-Switching Approach

Abiad, Abdul G. - 2005

Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...

Persistent link: https://www.econbiz.de/10014070104

Can Exchange Rates Forecast Commodity Prices? A Reconsideration

Bork, Lasse - 2018

Engel and West (2005) model log exchange rates as discounted log fundamentals. For ‘commodity currencies', commodity prices are often viewed as key fundamentals, implying that commodity prices should, therefore, be predicted by exchange rates and not vice-versa - which would run counter to a...

Persistent link: https://www.econbiz.de/10012937859

THE UNBIASED PRICING HYPOTHESIS AND THE PREDICTIVE CONTENT OF BASE METAL MARKETS

Clark, Andrew - 2022

This study tested the unbiased pricing hypothesis, the theory of storage, and the ability of past futures’ prices to … adverse version of the hypothesis. The tests of the theory of storage were inconclusive as many residuals were serially … correlated. Where this was not the case, the theory of storage did not hold. 3-month rolling wavelet forecasts were typically …

Persistent link: https://www.econbiz.de/10013305865