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Localising Forward Intensities for Multiperiod Corporate Default
Prastyo, Dedy Dwi; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
1991 to 2011, we estimate default probabilities over various prediction horizons. The prediction performance is evaluated … against the global FIA that employs all past observations. For the six months prediction horizon, the local adaptive FIA … performs with the same accuracy as the benchmark. The default prediction power is improved for the longer horizon (one to three …
Persistent link: https://www.econbiz.de/10010895343
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Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long-run from short-run components. We allow for smooth changes in the unconditional...
Persistent link: https://www.econbiz.de/10010607142
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State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...
Persistent link: https://www.econbiz.de/10010658762
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Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo; Schipp, Bernhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...
Persistent link: https://www.econbiz.de/10010607137
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Copula Dynamics in CDOs
Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...
Persistent link: https://www.econbiz.de/10011184070
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Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power
Polzehl, Jörg; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...
Persistent link: https://www.econbiz.de/10005677893
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Forecasting Euro-Area Variables with German Pre-EMU Data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the period 1970Q1 - 2003Q4 for ten macroeconomic...
Persistent link: https://www.econbiz.de/10005677971
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Measuring and Modeling Risk Using High-Frequency Data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10005678039
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A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10005678044
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Stochastic Population Forecast for Germany and its Consequence for the German Pension System
Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …
Persistent link: https://www.econbiz.de/10005207943