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Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008

and computation of Value-at-Risk. …

Persistent link: https://www.econbiz.de/10010986398

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2008

model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating outofsample Value-at-Risk …

Persistent link: https://www.econbiz.de/10010986460

Multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006

We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a). Issues of parametrization and estimation are discussed. We derive conditions for covariance stationarity and the existence of the fourth moment, and provide expressions for...

Persistent link: https://www.econbiz.de/10010958777

Asymmetric Multivariate Normal Mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Mark S. - Center for Financial Studies - 2008

model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out–of–sample Value–at–Risk …

Persistent link: https://www.econbiz.de/10005007626

Multivariate Normal Mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10005138847

Multivariate Regime–Switching GARCH with an Application to International Stock Markets

Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008

and computation of Value–at–Risk. …

Persistent link: https://www.econbiz.de/10005176449

Consumption-based asset pricing with rare disaster risk

Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...

Persistent link: https://www.econbiz.de/10010986365

Insiders-outsiders, transparency and the value of the ticker

Cespa, Giovanni; Foucault, Thierry - Center for Financial Studies - 2008

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on …

Persistent link: https://www.econbiz.de/10010958522

Does inter-market competition lead to less regulation?

Draus, Sarah - Center for Financial Studies - 2010

This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...

Persistent link: https://www.econbiz.de/10010958568

Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models

Grammig, Joachim; Schaub, Eva-Maria - Center for Financial Studies - 2014

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

Persistent link: https://www.econbiz.de/10010958629