Similar Search Results

Multivariate volatility modeling of electricity futures

Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - 2011

new model achieves higher forecasting performance compared to a standard DCC model. -- electricity futures ; dynamic … conditional correlations ; forecasting ; multiplicative component …

Persistent link: https://www.econbiz.de/10009349215

Localising forward intensities for multiperiod corporate default

Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014

Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...

Persistent link: https://www.econbiz.de/10010403045

Extreme value models in a conditional duration intensity framework

Herrera, Rodrigo; Schipp, Bernhard - 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/10009009682

State Price Densities implied from weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Teng, Huei-wen - 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/10009741915

Improved volatility estimation based on limit order books

Bibinger, Markus; Jirak, Moritz; Reiß, Markus - 2014

For a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation (X;X)t is constructed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process framework, which reveals an interesting connection to the theory...

Persistent link: https://www.econbiz.de/10010412417

Forecasting volatility of wind power production

Shen, Zhiwei; Ritter, Matthias - 2015

forecasting abilities of different GARCH-type models for wind power production. Moreover, due to characteristic features of the …-switching GARCH (MRS-GARCH) model on forecasting volatility of wind power. The realized volatility, which is derived from lower …

Persistent link: https://www.econbiz.de/10010529342

Predicting extreme VaR : nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - 2010

extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different …

Persistent link: https://www.econbiz.de/10003952845

Quantile regression in risk calibration

Chao, Shih-Kang; Härdle, Wolfgang; Wang, Weining - 2012

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...

Persistent link: https://www.econbiz.de/10009425497

Copula dynamics in CDOs

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Overbeck, Ludger - 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/10009531437

Forecasting euro-area variables with German pre-EMU data

Brüggemann, Ralf (contributor); … - 2006

period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …

Persistent link: https://www.econbiz.de/10003375993