Narrow search
Showing 1 - 10 of 87,705
Cover Image
Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
Persistent link: https://www.econbiz.de/10012292347
Cover Image
Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective
Benavides, Guillermo - 2010
In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To...
Persistent link: https://www.econbiz.de/10010322620
Cover Image
Forecasting short-run inflation volatility using futures prices : an empirical analysis from a value at risk perspective
Benavides, Guillermo - 2010
specified time horizon. -- Bootstrapping ; inflation ; inflation-indexed futures ; Mexico ; Value at Risk ; volatility …
Persistent link: https://www.econbiz.de/10008737147
Cover Image
Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective
Benavides, Guillermo - Banco de México - 2010
In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR)of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To...
Persistent link: https://www.econbiz.de/10008725882
Cover Image
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010331352
Cover Image
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010237661
Cover Image
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010985133
Cover Image
Forecasting Short-Run Inflation Volatility Using Futures Prices : An Empirical Analysis from a Value at Risk Perspective
Benavides, Guillermo - 2006
The use of non-linear models to accurately estimate the Value at Risk (VaR) of financial portfolios is increasing. Specifically, the use of Autoregressive Conditional Heteroscedasticity (ARCH) models, which can forecast the time-varying volatility of a financial asset. In this research paper...
Persistent link: https://www.econbiz.de/10012733835
Cover Image
A component GARCH model with time varying weights
Storti, Giuseppe; Bauwens, Luc - Society for Computational Economics - SCE - 2006
highly dependent on the magnitude of shocks themselves. Markov-Switching GARCH (MS-GARCH) models are a valuable tool for … dynamics, it is here suggested to use a modification of the component GARCH model proposed by Ding and Granger (1996) in which … lagged values of the conditional standard deviation. Differently from MS-GARCH models, likelihood based inference for the …
Persistent link: https://www.econbiz.de/10005706195
Cover Image
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
McAleer, Michael; Chen, Cathy W. S.; Gerlach, Richard; … - Facultad de Ciencias Económicas y Empresariales, … - 2011
violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the …
Persistent link: https://www.econbiz.de/10009141357