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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 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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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang - 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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Value-at-Risk and Expected Shortfall When There Is Long Range Dependence
Härdle, Wolfgang - 2017
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/10012966258
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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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Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 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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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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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