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Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10009371457
We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be … used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are … Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency. …
Persistent link: https://www.econbiz.de/10010851213
empirical regularities in credit markets. Our model captures the empirical level and volatility of credit spreads, generates a …
Persistent link: https://www.econbiz.de/10010851248