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Advancing Financial Risk Estimates by Incorporating GARCH Into Value at Risk

Oskay, Bora - 2018

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...

Persistent link: https://www.econbiz.de/10012925488

Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling

Hitaj, Asmerilda - 2018

Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effect of time, age, the interaction of the latter two terms and ﬁnally a term for possible shocks that introduce additional uncertainty. We consider for our analysis models that use Legendre...

Persistent link: https://www.econbiz.de/10012929849

The Volatility Risk Premium : An Empirical Study on the S&P 500 Index

Guo, Ivan; Loeper, Gregoire - 2021

We perform an empirical analysis of trading strategies based on the systematic selling of delta hedged options, aiming at capturing the so-called volatility risk premium. We compare the performance across different strikes and maturities, and perform a breakdown of the drivers of performance. We...

Persistent link: https://www.econbiz.de/10013250295

Volatility Estimation via First Exit Times

Sinclair, Euan; Merrill, Chris - 2021

Estimation of volatility is important for many financial applications. The most common methods are based on a time …

Persistent link: https://www.econbiz.de/10013213836

Estimation of Variance of Gini Coefficient for Income Distribution

Frangos, Christos C. - 2014

found that the trend of Greek Gini Coefficient is upwards; b) We found that the Jackknife method for variance estimation …

Persistent link: https://www.econbiz.de/10012750888

Local Quantile Regression

Härdle, Wolfgang K. - 2017

Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications...

Persistent link: https://www.econbiz.de/10012966291

Modeling Effects of Foreign Direct Investment on Macroeconomic Variables in Sudan

Mohamed, Issam A.W. - 2012

Over the past two decades, many countries around the world have experienced substantial growth in their economies …, driven by inflow of the foreign capital especially in the form of foreign direct investment (FDI). The share of net FDI in … world GDP has grown five-fold through recent years, making the impact and consequences of FDI on economic growth a subject …

Persistent link: https://www.econbiz.de/10013112103

Testing Categorized Bivariate Normality with Two-Stage Polychoric Correlation Estimates

Maydeu Olivares, Alberto - 2007

We show that when the thresholds and the polychoric correlation are estimated in two stages, neither Pearson's X^2 nor the likelihood ratio G^2 goodness of fit test statistics are asymptotically chi-square. We propose a new test statistic, Mn, that is asymptotically chi-square in this situation....

Persistent link: https://www.econbiz.de/10014049104

It Takes Two to Tango : Estimation of the Zero-Risk Premium Strike of a Call Option Via Joint Physical and Pricing Density Modeling

Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - 2021

- and Q-world are equal. To fully exploit the insights of the option market we deploy the Tilted Bilateral Gamma pricing …

Persistent link: https://www.econbiz.de/10013230953

Equity Machine Factor Models

Noguer i Alonso, Miquel; Zoonekynd, Vincent - 2022

We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...

Persistent link: https://www.econbiz.de/10014255242