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A comparison of market risk measures from a twofold perspective : accurate and loss function
Muela, Sonia Benito; López-Martin, Carmen; … - In: ACRN journal of finance and risk perspectives 11 (2022), pp. 79-104
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are...
Persistent link: https://www.econbiz.de/10014235034
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Are Realized Volatility Models Good Candidates for Alternative Value at Risk Prediction Strategies?
Louzis, Dimitrios P. - 2011
realized volatility models and two GARCH models augmented with realized volatility regressors. The α-th quantile of the … realized volatility and the augmented GARCH models with the FHS or the EVT quantile estimation methods produce superior VaR …
Persistent link: https://www.econbiz.de/10013126884
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Forecasting value-at-risk under different distributional assumptions
Braione, Manuela; Scholtes, Nicolas K. - In: Econometrics : open access journal 4 (2016) 1, pp. 1-27
accuracy of both univariate and multivariate GARCH models in out-of-sample VaR prediction. The set of analyzed distributions …
Persistent link: https://www.econbiz.de/10011411216
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Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate
Bauer, Matthias; Zenker, Martin - 2012
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/10010334513
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Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate
Bauer, Matthias; Zenker, Martin - 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/10010334518
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An Event Study of Chinese Tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …
Persistent link: https://www.econbiz.de/10011819518
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011482587
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Tran, Minh-Ngoc - 2023
such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …
Persistent link: https://www.econbiz.de/10014331159
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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
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011476095