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A range-based volatility approach to measuring volatility contagion in securitized real estate markets

Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic Modelling 45 (2015) C, pp. 223-235

We use a newly-developed time-varying range-based volatility model to capture the dynamics of securitized real estate volatility. The novelty of the model is the use of a smooth transition copula function to capture the nonlinear comovements between major REIT markets in the presence of...

Persistent link: https://www.econbiz.de/10011190216

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

Persistent link: https://www.econbiz.de/10010292668

Empirical performance of the Czech and Hungarian index options under jump

Lee, Gabriel S.; Boss, Michael; Klisz, Chris - 2001

find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We …

Persistent link: https://www.econbiz.de/10010292775

Valid inference for a class of models where standard inference performs poorly: Including nonlinear regression, ARMA, GARCH, and unobserved components

Ma, Jun; Nelson, Charles R. - 2010

Pagan (1980)., We show that this test has nearly correct size in non-linear regression, ARMA, GARCH, and Unobserved …

Persistent link: https://www.econbiz.de/10010294011

Semiparametric multivariate volatility models

Rombouts, Jeroen V. K.; Hafner, Christian M. - 2004

Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which consistency and asymptotic normality have been proven under quite general conditions. However, there may be a substantial efficiency loss of QMLE if the true innovation distribution...

Persistent link: https://www.econbiz.de/10010296410

Forecasting sectoral trade growth under flexible exchange rates

Herwartz, Helmut; Weber, Henning - 2003

A huge body of empirical and theoretical literature has emerged on the relationship between exchange rate uncertainty and international trade. In empirical studies the estimated impacts of exchange rate uncertainty on trade figures are at most weak and often ambiguous with respect to their...

Persistent link: https://www.econbiz.de/10010296440

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Structural Change and long memory in the GARCH(1,1)-model

Azamo, Baudouin Tameze; Krämer, Walter - 2006

It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the …

Persistent link: https://www.econbiz.de/10010296748

Long memory with Markov-Switching GARCH

Krämer, Walter - 2006

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su … observation that estimated GARCH-parameters often sum to almost one. …

Persistent link: https://www.econbiz.de/10010296750

The convergence of optimization based estimators : theory and application to a GARCH-model

Winker, Peter; Maringer, Dietmar - 2005

application to a GARCH-model demonstrates the approach in practice by estimating actual rates of convergence through a large scale …

Persistent link: https://www.econbiz.de/10010297265