Showing 1 - 10 of 97
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...
Persistent link: https://www.econbiz.de/10010958549
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...
Persistent link: https://www.econbiz.de/10005701768
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...
Persistent link: https://www.econbiz.de/10012779131
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and,...
Persistent link: https://www.econbiz.de/10010958670
Persistent link: https://www.econbiz.de/10005172782
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and,...
Persistent link: https://www.econbiz.de/10012754099
The use of GARCH models is widely used as an effective method for capturing the volatility clustering inherent in financial returns series. The residuals from such models are however often non-Gaussian, and two methods suggest themselves for dealing with this; outlier removal, or use of...
Persistent link: https://www.econbiz.de/10010680450
Persistent link: https://www.econbiz.de/10005493017
This paper presents a model of two competing local telecommunications networks, similar in spirit to the model of Laffont, Rey and Tirole(1996). The networks have different attributes which we assume are fixed and the consumers have idiosyncratic tastes for these attributes. The networks are...
Persistent link: https://www.econbiz.de/10005412954
The literature on the licensing of an innovation has mainly focused on some speci c contract types. We show within the framework of a fairly general model that removing these contractual limitations will lead to extreme market outcomes. Speci cally, we nd that when the patentee can employ...
Persistent link: https://www.econbiz.de/10010957918