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Extreme Value Theory and Value at Risk : Application to Oil Market
Marimoutou, Vêlayoudom; Raggad, Bechir; Trabelsi, … - HAL - 2006
. Oil markets have become relatively free, resulting in a high degree of oil-price volatility and generating radical changes … to world energy and oil industries. As a result oil markets are naturally vulnerable to significant negative volatility …. These models are compared to the performances of other well-known modelling techniques, such as GARCH, historical simulation …
Persistent link: https://www.econbiz.de/10008794366
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BL-GARCH model with elliptical distributed innovations
Diongue, Abdou Kâ; Guegan, Dominique; Wolff, Rodney C. - HAL - 2010
two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that … a maximum likelihood estimation (MLE) methodology. To evaluate the small-sample performance of this method for the … various models, a Monte Carlo study is conducted. Finally, within-sample estimation properties are studied using S&P 500 daily …
Persistent link: https://www.econbiz.de/10010738634
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Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations
Diongue, Abdou Kâ; Guegan, Dominique; Wolff, Rodney C. - HAL - 2008
two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that … a maximum likelihood estimation (MLE) methodology. To evaluate the small-sample performance of this method for the … various models, a Monte Carlo study is conducted. Finally, within-sample estimation properties are studied using S&P 500 daily …
Persistent link: https://www.econbiz.de/10010750616
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Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance
Fliess, Michel; Join, Cédric - HAL - 2008
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …
Persistent link: https://www.econbiz.de/10008791958
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An Economic Evaluation of Model Risk in Long-term Asset Allocations
Boucher, Christophe; Jannin, Gregory; Maillet, Bertrand; … - HAL - 2013
Following the recent crisis and the revealed weakness of risk management practices, regulators of developed markets have recommended that financial institutions assess model risk. Standard risk measures, such as the Value-at-Risk (VaR), emerged over recent decades as the industry standard for...
Persistent link: https://www.econbiz.de/10010821302
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On the Range of Admissible Term-Structures
Cousin, Areski; Niang, Ibrahima - HAL - 2014
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes and a certain degree of smoothness. When present values...
Persistent link: https://www.econbiz.de/10010899858
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The Riskiness of Risk Models
Boucher, Christophe; Maillet, Bertrand - HAL - 2011
(specification and estimation risks) on VaR estimates. We find that integrating the model risk into the VaR computations implies a …
Persistent link: https://www.econbiz.de/10010605338
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On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree
Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2014
This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the … based on a binary decision tree and, it allows a probabilistic vision of the relationship between univariate volatility and … volatility and correlation are dependent upon the nature of the series considered, sometimes corresponding to those found in …
Persistent link: https://www.econbiz.de/10010899642
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Long Memory Process in Asset Returns with Multivariate GARCH innovations
Mootamri, Imene - HAL - 2011
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a … …first conditional moment of US stock returns through multivariate ARFIMA process and the time-varying feature of volatility …
Persistent link: https://www.econbiz.de/10009644795
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Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)
Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2011
This paper presents a new multivariate GARCH model with time-varying conditional correlation structure, which is a special case of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model which we have named Hierarchical RSDC (HRSDC), has been built with the hierarchical...
Persistent link: https://www.econbiz.de/10009151637