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Sensitivity analysis of volatility: a new tool for risk management

Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - European Central Bank - 2002

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest … to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation … derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the …

Persistent link: https://www.econbiz.de/10005222359

Duration, volume and volatility impact of trades

Manganelli, Simone - European Central Bank - 2002

This paper develops a new econometric framework to model duration, volume and volatility simultaneously. We obtain an econometric reduced form that incorporates causal and feedback effects among these variables. We construct impulse-response functions that show how the system reacts to a...

Persistent link: https://www.econbiz.de/10005816171

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - European Central Bank - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression eroor as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10005816215