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VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

McAleer, Michael; Hakim, Hakim, A. - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010731676

Dynamic Conditional Correlations for Asymmetric Processes

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …

Persistent link: https://www.econbiz.de/10010732622

Evaluating exponential GARCH models

Malmsten, Hans - 2004

testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated …

Persistent link: https://www.econbiz.de/10010281223

A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy - 2001

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …

Persistent link: https://www.econbiz.de/10010281314

An introduction to univariate GARCH models

Teräsvirta, Timo - 2006

mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …

Persistent link: https://www.econbiz.de/10010281357

A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Meitz, Mika - 2005

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary …

Persistent link: https://www.econbiz.de/10010281442

Do We Often Find ARCH Because Of Neglected Outliers?

Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010837745

Structure and Asymptotic theory for Nonlinear Models with GARCH Errors

McAleer, Michael; Chan, Chan, F.; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2011

- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10010837896

How Volatile is ENSO?

McAleer, Michael; Chu, Chu, L.; Chen, Chen, C-C. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning …

Persistent link: https://www.econbiz.de/10010837928

It Pays to Violate: How Effective are the Basel Accord Penalties?

McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010731585