This research paper examines exchange rate volatility over time (1970-2012) using the Generalized Autoregressive Conditional Heteroscedasticity (AR GARCH) model of the Maximum Likelihood techniques. Our AR GARCH result showed that lagged (last year) exchange rate is significantly responsible for...

In this paper I introduce a latent variable augmented version of the conditional autoregressive range (CARR) model. The new model, called stochastic conditional- range (SCR) can be estimated by Kalman filter or by efficient importance sampling depending on the hypotheses on the distributional...

In this paper we introduce a parameter driven model for the dynamics of range, the stochastic conditional range (SCR). We propose to estimate its parameters by Kalman filter, importance sampling and simulated maximum likelihood depending on the hypotheses on the distributional form of the...

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...

We analyze the behavior and performance of multiple price jump indicators across markets and over time. By using high-frequency stock market data we identify clusters of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II...

Regressions often use pre-orthogonalized regressors: prior to the main regression, an independent variable xi is regressed upon the other regressor(s), and its residuals are used in the right-hand side of the main regression instead of the raw variable itself. For example, the exposure of a...

Following recent evidence of out-of-sample stock market return predictability, the authors aim to evaluate whether the potential benefits suggested by asset allocation theory can actually be captured in the real world using expected return estimates from a predictive system. The question is...

The main objective of this paper is to determine the scope of the use of derivatives by companies in B&H for specific purposes of financial risk management. The aim is to provide a comparative analysis with companies from Slovenia and Croatia in order to determine if companies in B&H use the...

This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by...

The growth in variable renewable energy (vRES) and the need for flexibility in power systems go hand in hand. We study how vRES and other factors, namely the price of substitute fuels, power price volatility, structural breaks, and seasonality impact the hedgeable power spreads (profit margins)...