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Comparison of VaR estimation methods for different forecasting samples for Russian stocks

Shcherba, Alexandr - In: Applied Econometrics 24 (2011) 4, pp. 58-70

modeling techniques, the estimates considered in this work are based on GARCH models with six different distributions. A back …

Persistent link: https://www.econbiz.de/10010841045

An Econometric Analysis of Financial Data in Risk Management

Fantazzini, Dean - In: Applied Econometrics 10 (2008) 2, pp. 91-137

The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a...

Persistent link: https://www.econbiz.de/10009002154

Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models

Lakshina, Valeriya - In: Applied Econometrics 36 (2014) 4, pp. 61-78

The article is devoted to the estimation of multivariate volatility of a portfolio consisted from twenty American stocks. The six specifications of multivariate volatility models are formulated and estimated. It’s demonstrated that spatial specifications of multivariate volatility models allow...

Persistent link: https://www.econbiz.de/10011106004

Comparing «Realized volatility» models in the VaR calculation for the Russian equity market

Shcherba, Alexandr Vladimirovich - In: Applied Econometrics 34 (2014) 2, pp. 120-136

The paper is dedicated to the methodology of calculation, description of the properties and practical appliance of the realized volatility estimation, and its usage in the VaR calculation. The aim of the research is comparing of the realized volatility calculation methods, some of them are...

Persistent link: https://www.econbiz.de/10011186457

Investment portfolio risk modelling based on hierarchical copulas

Penikas, Henry - In: Applied Econometrics 35 (2014) 3, pp. 18-38

Paper is devoted to comparison of various copula models application to investment portfolio risk measurement. Elliptical, Archimedean and hierarchical copulas are considered in the research. The analysis undertaken has shown that hierarchical Clayton model enables to evaluate investment...

Persistent link: https://www.econbiz.de/10011186461

The role of the timeline in Granger causality test in the presence of daily data non-synchronism

Grigoryev, Ruslan; Jaffry, Shabbar; Marchenko, German - In: Applied Econometrics 27 (2012) 3, pp. 3-19

The factor of the earlier/later closing market, which appears in pairs of time series with non-synchronism problem exposure, may predetermine the results of the Granger causality test conducted on classic form. The shift in GMT timeline reverses the exposure of the market to the factor of...

Persistent link: https://www.econbiz.de/10010840999

Econometric Analysis in the investment projects efficiency evaluation and property valuation theories

Smolyak, Sergey - In: Applied Econometrics 1 (2006) 1, pp. 55-62

Real investment projects efficiency evaluation and property valuation in some cases requires the use of methods of applied statistics. The typical situation of this kind is considered in the article

Persistent link: https://www.econbiz.de/10010841015

Optimization of portfolio management based on vector autoregression models and multivariate volatility models

Habrov, Vladimir - In: Applied Econometrics 28 (2012) 4, pp. 35-62

Theoretical part of this article examines the impact of information on the stochastic model of generating returns of assets (vector autoregressive model) on the optimal structure of assets allocation of the investment portfolio. Article includes theoretical basis for construction and...

Persistent link: https://www.econbiz.de/10010841029

Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries

Grigoryev, Ruslan; Jaffry, Shabbar; Marchenko, German - In: Applied Econometrics 26 (2012) 2, pp. 92-112

The comparison was performed between Granger causality test results, based on the equations in classic and non-synchronism corrected forms applying the pairs of stock market indices with daily data non-synchronism problem. In contrast to the non-synchronism corrected form of the equation, the...

Persistent link: https://www.econbiz.de/10010841033

Using news analytics data in GARCH models

Sidorov, Sergei; Date, Paresh; Balash, Vladimir - In: Applied Econometrics 29 (2013) 1, pp. 82-96

volatility by considering some augmented GARCH models. We suppose that trading volume can be considered as a proportional proxy … intensity) as an alternative explanatory variable in the basic equation of GARCH model. We will show that the GARCH(1,1) model … augmented with volume does remove GARCH and ARCH effects for the most of the companies, while the GARCH(1,1) model augmented …

Persistent link: https://www.econbiz.de/10010841044