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VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
Hakim, A.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillovers...
Persistent link: https://www.econbiz.de/10008570634
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Analytic Moments for GARCH Processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010
Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …
Persistent link: https://www.econbiz.de/10010838036
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The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
Alexander, Carol; Prokopczuk, Marcel; Sumawon, Anannit - Henley Business School, University of Reading - 2012
produced by GARCH-based models are excessive. Therefore we encourage hedgers to use a na ¨ive hedging strategy on the crack … majority of the existing literature, which favours the implementation of GARCH-based hedging strategies. …
Persistent link: https://www.econbiz.de/10010838053
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Endogenizing Model Risk to Quantile Estimates
Alexander, Carol; Sarabia, Jose Maria - Henley Business School, University of Reading - 2010
We quantify and endogenize the model risk associated with quantile estimates using a maximum entropy distribution (MED) as benchmark. Moment-based MEDs cannot have heavy tails, however generalized beta generated distributions have attractive properties for popular applications of quantiles....
Persistent link: https://www.econbiz.de/10010838057
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Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
Chan, F.; McAleer, M.J.; Medeiros, M.C. - Erasmus University Rotterdam, Econometric Institute - 2011
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008800914
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Daily exchange rate behaviour and hedging of currency risk
Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2000
methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10008570624
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008570643
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It Pays to Violate: How Effective are the Basel Accord Penalties?
Veiga, B. da; Chan, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10008484079
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Do We Often Find ARCH Because Of Neglected Outliers?
Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1997
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily and weekly … data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new … result is that we find spurious GARCH in over 50% of the cases. Using Monte Carlo simulations, in which we evaluate our …
Persistent link: https://www.econbiz.de/10008584701
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008584711