Showing 41 - 50 of 65,873
Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on the short-term portfolio tail risk...
Persistent link: https://www.econbiz.de/10012542685
In this paper, we calculate the realized volatility measures using intraday data not equally spaced in time. The aim is to compare these measures with the ones from the stochastic volatility model. With this model, the data used are obtained in equal time intervals. Known facts are that the...
Persistent link: https://www.econbiz.de/10011274612
Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...
Persistent link: https://www.econbiz.de/10011255481
Our paper shows that based on the RMSE criteria, Price-to-Earnings ratio is a better predictor of financial and market performances of the firm than the Customer Satisfaction index (CS). This conclusion is based on the choice of five financial and seven market indicators that we consider as...
Persistent link: https://www.econbiz.de/10009492690
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed...
Persistent link: https://www.econbiz.de/10010550282
Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower quantile of a forecast distribution for the portfolio’s profit and loss (P&L) that is constructed from a single, multivariate historical sample on the portfolio’s risk factors....
Persistent link: https://www.econbiz.de/10010838048
The study provides evidence in favor of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day datasets are unavailable or they are available at a low sampling frequency.
Persistent link: https://www.econbiz.de/10010608267
This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...
Persistent link: https://www.econbiz.de/10010641413
We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach...
Persistent link: https://www.econbiz.de/10014258455
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess to what...
Persistent link: https://www.econbiz.de/10010598291