This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...

Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indices worldwide. The value-at-risk forecast performance is investigated for different markets and industries, considering the test for correct conditional coverage using the false discovery rate...

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results...

This article describes the R package DEoptim which implements the differential evolution algorithm for the global optimization of a real-valued function of a real-valued parameter vector. The implementation of differential evolution in DEoptim interfaces with C code for efficiency. The utility...

This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture of Student-t distributions as an approximation to...

The R package DEoptim implements the differential evolution algorithm. This algorithm is an evolutionary technique similar to genetic algorithms that is useful for the solution of global optimization problems. In this note we provide an introduction to the package and demonstrate its utility for...

This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.

This paper presents the R package AdMit which provides functions to approximate and sample from a certain target distribution given only a kernel of the target density function. The core algorithm consists in the function AdMit which fits an adaptive mixture of Student-t distributions to the...

An important aspect of portfolio risk management is the analysis of the overall risk with respect to the allocations to the underlying assets. Marginal risk is the traditional tool used by portfolio managers to accomplish this. However, this metric is only meaningful when a position is levered...