Narrow search
Showing 14,281 - 14,290 of 14,442
Cover Image
The Stochastic Volatility in Mean Model
Koopman, Siem Jan; Uspensky, Eugenie Hol - Tinbergen Institute - 2000
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extension is...
Persistent link: https://www.econbiz.de/10005281817
Cover Image
Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models
Kilic, Ekrem - EconWPA - 2005
Volatility of financial markets is an important topic for academics, policy makers and market participants. In this study first I summarized several specifications for the conditional variance and also define some methods for combination of these specifications. Then assuming that the squared...
Persistent link: https://www.econbiz.de/10005556286
Cover Image
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS
Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha - EconWPA - 1996
GARCH models. All the procedures are illustrated in detail. …
Persistent link: https://www.econbiz.de/10005556396
Cover Image
The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection
Hillebrand, Eric; Schnabl, Gunther - EconWPA - 2004
the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we …
Persistent link: https://www.econbiz.de/10005556654
Cover Image
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
Alexander, Carol; Sheedy, Elizabeth - Henley Business School, University of Reading - 2007
Under the new capital accord stress tests are to be included in market risk regulatory capital calculations. This development necessitates a coherent and objective framework for stress testing portfolios exposed to market risk. Following recent criticism of stress testing methods our tests are...
Persistent link: https://www.econbiz.de/10005558290
Cover Image
Augoregressive Conditional Kurtosis
Brooks, Chris; Burke, Simon P.; Persand, Gita - Henley Business School, University of Reading - 2002
This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and...
Persistent link: https://www.econbiz.de/10005558309
Cover Image
Pricing of S&P 100 Index Options Based On Garch Volatility Estimates
Ogus, Ayla - Ekonomi Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2002
options but GARCH volatility forecasts do. Trading based on implied volatility forecasts for the S&P 100 index options also … fail to generate profits in excess of transaction costs. This paper shows that trading based on GARCH volatility forecast …&P index options markets. GARCH models fair well due to their flexibility to incorporate asymmetric and nonlinear volatility …
Persistent link: https://www.econbiz.de/10005558795
Cover Image
Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006
Farber, André; Nguyen, Van Nam; Vuong, Quan Hoang - Centre Emile Bernheim, Solvay Brussels School of … - 2006
market portfolio;The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat …
Persistent link: https://www.econbiz.de/10005558864
Cover Image
Sector-Specific Volatility Patterns in Investment
Kredler, Matthias - EconWPA - 2005
different industrial sectors. A competitive partial-equilibrium model with quadratic adjustment costs in investment and a GARCH … model, the GARCH property is inherited by the aggregate investment process in the rational-expectations equilibrium. The … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …
Persistent link: https://www.econbiz.de/10005561184
Cover Image
Volatility-Spillover E ffects in European Bond Markets
Christiansen, Charlotte - Ehrvervøkonomisk Institut, Institut for Økonomi - 2003
using a GARCH volatility-spillover model. We find strong statistical evidence of volatility-spillover e ffects from both the …
Persistent link: https://www.econbiz.de/10005626763