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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang Karl; Mungo, Julius - 2007
Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …
Persistent link: https://www.econbiz.de/10010274129
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang Karl; Mungo, Julius - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10010274140
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Value-at-Risk and Expected Shortfall when there is long range dependence
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10005860751
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …. -- Implied Volatility ; Dynamic Semiparametric Factor Modeling ; Long Memory ; Fractional Integrated Volatility Models …
Persistent link: https://www.econbiz.de/10003633787
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10003636008
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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang K. - 2017
Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …
Persistent link: https://www.econbiz.de/10012966247
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10011377261
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Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees G. H.; Panchenko, Valentyn; van Dijk, Dick J. C. - 2011
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10014047091
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Negative volatility spillovers in the unrestricted ECCC-GARCH model
Conrad, Christian A. (contributor);  … - 2008
This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model which allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility spillovers were ruled out by the assumption that all...
Persistent link: https://www.econbiz.de/10003764299
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Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
Liao, Yin - 2012
of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility …
Persistent link: https://www.econbiz.de/10013105658