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Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Claessen, Holger; Mittnik, Stefan - 2002

, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

Persistent link: https://www.econbiz.de/10010317419

What moves the European carbon market? Insights from conditional jump models

Gronwald, Marc; Ketterer, Janina - 2012

emissions trading market. Based on the application of a combined jump-GARCH model the behavior of EUA prices is characterized …. The jump-GARCH model explains the unsteady carbon price movement well and, moreover, shows that between 40 and 60 percent …

Persistent link: https://www.econbiz.de/10010281924

Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment …

Persistent link: https://www.econbiz.de/10010288306

Macroeconomic effects on DJSI-World returns

Sariannidis, Nikolaos; Koskosas, Ioannis; Kartalis, Nikos; … - In: International Journal of Economic Sciences and Applied … 2 (2009) 2, pp. 95-110

Index World (D.J.S.I.-World). By using the model of Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the …

Persistent link: https://www.econbiz.de/10010289453

Testing volatility in Nigeria stock market using GARCH models

Atoi, Ngozi V. - In: CBN Journal of Applied Statistics 05 (2014) 2, pp. 65-93

validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error …

Persistent link: https://www.econbiz.de/10011518789

Minor nuisance around foreign exchange markets : lessons from the stability and growth pact debate

Bauer, Matthias; Zenker, Martin - 2011

This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on the euro's foreign exchange expectation bias for the period 2001 to 2005. Our findings suggest that euro foreign exchange markets were attentive to the political dispute over...

Persistent link: https://www.econbiz.de/10009569731

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

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

GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …

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

A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis

Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014

over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …

Persistent link: https://www.econbiz.de/10010250513

Market discipline under a politicised multilateral fiscal rule : lessons from the stability and growth pact debate

Bauer, Matthias; Zenker, Martin - 2011

Does a multilateral fiscal rule improve market discipline in a monetary union? This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on EMU sovereign default risk for the period 2001 to 2005. For various EMU member countries our...

Persistent link: https://www.econbiz.de/10009656350

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

Persistent link: https://www.econbiz.de/10011975954