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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

Persistent link: https://www.econbiz.de/10010237661

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...

Persistent link: https://www.econbiz.de/10011817166

Estimation and testing in a perturbed multivariate long memory framework

Less, Vivien; Sibbertsen, Philipp - 2022

We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...

Persistent link: https://www.econbiz.de/10014247836

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

Option-implied term structures

Vogt, Erik - 2014

predictability. …

Persistent link: https://www.econbiz.de/10010459730

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

Persistent link: https://www.econbiz.de/10011809984

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

Persistent link: https://www.econbiz.de/10001600056

Dividend growth predictability and the price-dividend ratio

Piatti, Ilaria; Trojani, Fabio - 2012 - This version: October 2012

Conventional tests of present-value models over-reject the null of no predictability. In order to better account for …-dividend ratios and dividend growth. We find evidence of return predictability, but no apparent evidence of dividend growth … predictability in postwar US data, thus reconciling the diverging conclusions in the literature. Our findings are robust to the …

Persistent link: https://www.econbiz.de/10009684124

Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...

Persistent link: https://www.econbiz.de/10001600058

A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

Persistent link: https://www.econbiz.de/10001600059