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Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Adcock, Christopher J. - 2013

Persistent link: https://www.econbiz.de/10013090404

Time Series Momentum and Macroeconomic Risk

Hutchinson, Mark - 2019

The time series momentum strategy has been shown to deliver consistent profitability over a long time horizon. Funds pursuing these strategies are now a component of many institutional portfolios, due to the expectation of positive returns in equity bear markets. However, the return drivers of...

Persistent link: https://www.econbiz.de/10012904512

Modelling volatility persistence and asymmetry of Naira-Dollar exchange rate

Oyinlola, Mutiu Abimola - In: CBN journal of applied statistics 9 (2018) 1, pp. 141-165

This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old...

Persistent link: https://www.econbiz.de/10011922750

Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling

Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518

Persistent link: https://www.econbiz.de/10012624151

Modeling Market Volatility with Mixed Exponential Power Asymmetric Conditional Heteroskedasticity : An Application to Shanghai Stock Exchange Composite Index Daily Returns

Shi, Kai - 2012

likelihood estimation makes it more attractive in the applications of risk management of portfolio and VaR calculation …

Persistent link: https://www.econbiz.de/10013103551

Analysis of asymmetric GARCH volatility models with applications to margin measurement

Goldman, Elena; Shen, Xiangjin - 2018

conditional heteroscedasticity (ARCH) and GARCH terms. Based on maximum likelihood estimation of S&P 500 returns, S&P/TSX returns …

Persistent link: https://www.econbiz.de/10011844178

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821325

Oh, Gabjin - 2011

important problem in the fields of finance, economics and econophysics. We introduce the exit-time correlation (EC) to measure … cross correlation method. The exit-time correlation serves as the inverse statistics for the multiscale cross correlation in … analyzing correlation between multivariate time series. The application of our approach to high-frequency foreign exchange rates …

Persistent link: https://www.econbiz.de/10013121290

A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics : A Selected Review

Wirjanto, Tony S. - 2013

time-series data. The survey is conducted under two broad themes: (i) estimation methods and (ii) applications to financial …

Persistent link: https://www.econbiz.de/10013084062

Better not forget : on the memory of S&P 500 survivor stock companies

Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-16

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...

Persistent link: https://www.econbiz.de/10014305602