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The volatility of realized volatility
Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
Using unobservable conditional variance as measure, latentvariable approaches, such as GARCH and stochasticvolatility …
Persistent link: https://www.econbiz.de/10010986437
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Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates
Han, Heejoon; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2012
GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional … to the results of Jensen and Rahbek (2004, Econometric Theory 20) who develop similar results for the pure GARCH model …
Persistent link: https://www.econbiz.de/10010851299
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Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate
Bauer, Matthias; Zenker, Martin - Friedrich-Schiller-University Jena - 2012
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/10010904556
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Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan
Jabeen, Munazza; Khan, Saud Ahmad - In: International Econometric Review (IER) 6 (2014) 2, pp. 59-77
What drives volatility in foreign exchange market in Pakistan? This paper undertakes an analysis of modelling exchange rate volatility in Pakistan by potential macroeconomic fundamentals well-known in the economic literature. For this, monthly data on Pak Rupee exchange rates in the terms of...
Persistent link: https://www.econbiz.de/10010907876
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Value-at-Risk for Greek Stocks
Angelidis, Timotheos; Benos, Alexandros - In: Multinational Finance Journal 12 (2008) 1-2, pp. 67-104
use a collection of ARCH models (GARCH, EGARCH and TARCH) based on three distributional assumptions (Normal, Student-T and … Skewed Student-T), while we combine the Extreme Value Theory with a volatility updating technique (via GARCH type …
Persistent link: https://www.econbiz.de/10010937130
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La cópula GED bivariada. Una aplicación en entornos de crisis.
Mendoza, Alfonso.; Galvanovskis, Evalds. - In: El Trimestre Económico LXXXI (3) (2014) 323, pp. 721-746
The General Error Distribution (GED) has been extensively used in time series econometrics applications, due to its great flexibility in the estimation of financial stylized facts. However, there has been no attempt to employ this statistical distribution in the construction of copulas. Copulas...
Persistent link: https://www.econbiz.de/10010940853
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Is Gold a Safe Haven Against Equity Market Investment in Emerging and Developing Countries ?
Gurgun, Gozde; Unalmis, Ibrahim - Türkiye Cumhuriyet Merkez Bankası - 2014
The hedge and safe haven properties of gold in advanced economies’ financial markets are well documented in the literature. Studies of how this issue relates to emerging markets and developing countries are, however, very limited. This paper aims to fill this gap by empirically analysing the...
Persistent link: https://www.econbiz.de/10010941512
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Risks of Turkish Industries During Financial Crisis
SENCAL, Harun; ORHAN, Mehmet - In: Iktisat Isletme ve Finans 29 (2014) 343, pp. 83-104
on ISE indices of industries. First, we report the descriptive statistics of 19 subsectors. Then, we make use of GARCH (1 … (April) - 2007 (July) and 2007(August)-2013(March). Our findings suggest that although VaR based on GARCH (1, 1) model seems … performance of VaR based on GARCH (1, 1) model at all confidence levels. …
Persistent link: https://www.econbiz.de/10010942785
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What Moves the European Carbon Market? - Insights from Conditional Jump Models
Gronwald, Marc; Ketterer, Janina - CESifo - 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/10010948892
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Multimodality in the GARCH Regression Model
Doornik, Jurgen; Ooms, Marius - Department of Economics, Oxford University - 2003
Several aspects of GARCH(p, q) models that are relevant for empirical applications are investigated. In particular, it … is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood. This … invalidates standard inference on the estimated coefficients. Next, the implementation of different restrictions on the GARCH …
Persistent link: https://www.econbiz.de/10011004295