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Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

Persistent link: https://www.econbiz.de/10009575075

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10003770817

Volatility in discrete and continuous time models : a survey with new evidence on large and small jumps

Duong, Diep; Swanson, Norman R. - 2011

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In...

Persistent link: https://www.econbiz.de/10009130524

Continuous-time linear models

Cochrane, John H. - 2012

Persistent link: https://www.econbiz.de/10009710832

Panel data tests of PPP : a critical overview

Caporale, Guglielmo Maria; Cerrato, Mario - In: Applied financial economics 16 (2006) 1/2, pp. 73-91

Persistent link: https://www.econbiz.de/10003291805

Unit roots and cointegration in panels

Breitung, Jörg (contributor); … - 2005

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …