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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael; Schmieder, Christian - 2007
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …
Persistent link: https://www.econbiz.de/10010295926
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
Credit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of … corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial … crisis. Thus, methods for measuring credit risk, default probabilities, and recoveries have caught more and more attention in …
Persistent link: https://www.econbiz.de/10010276410
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10010281483
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10010308578
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Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates
Cserna, Balázs - 2008
We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...
Persistent link: https://www.econbiz.de/10011422171
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010
There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...
Persistent link: https://www.econbiz.de/10010270704
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Numerics of implied binomial trees
Härdle, Wolfgang Karl; Myšičková, Alena - 2008
known as volatility smile. They provide a discrete approximation to the continuous risk neutral process for the underlying …
Persistent link: https://www.econbiz.de/10010275907
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Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models
Theodossiou, Panayiotis; McDonald, James B.; Hansen, … - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-7, pp. 1-20
This paper provides a survey of three families of flexible parametric probability density functions (the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sine distributions) which can be used in modeling a wide variety of econometric problems....
Persistent link: https://www.econbiz.de/10010295290
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Time series properties of a rating system based on financial ratios
Krüger, Ulrich; Stötzel, Martin; Trück, Stefan - 2005
-inhomogeneity, second-order Mrkov behaviour, a tendency for "rating equalization" and vast effects of migration behaviour on risk figures …
Persistent link: https://www.econbiz.de/10010295907
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Purchase and redemption decisions of mutual fund investors and the role of fund families
Jank, Stephan; Wedow, Michael - 2010
This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...
Persistent link: https://www.econbiz.de/10010300703