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Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang Karl; Mungo, Julius - 2008

, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …

Persistent link: https://www.econbiz.de/10010274140

Modeling and Forecasting DAX Index Volatility

Lazarov, Zdravetz - 2004

The recent introduction of the realized variance measure defined as the sum of the squared intra-daily returns stamped on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new directions. First, the realized variance is a much better...

Persistent link: https://www.econbiz.de/10010263102

Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Upper, Christian; Werner, Thomas - 2002

The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...

Persistent link: https://www.econbiz.de/10010295741

Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010298290

Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data

Steiner, Christian; Groß, Anne; Entorf, Horst - 2009

in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

Persistent link: https://www.econbiz.de/10010298727

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

One-factor-Garch models for German stocks: Estimation and forecasting

Kaiser, Thomas - 1996

factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetrie GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …

Persistent link: https://www.econbiz.de/10010435583

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its …

Persistent link: https://www.econbiz.de/10010292792

Measuring business sector concentration by an infection model

Düllmann, Klaus - 2006

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable "infection model" can provide a meaningful estimate of the impact of...

Persistent link: https://www.econbiz.de/10010295911

Granularity adjustment for Basel II

Lütkebohmert, Eva; Gordy, Michael B. - 2007

The credit value-at-risk model underpinning the Basel II Internal Ratings-Based approach assumes that idiosyncratic risk has been diversified away fully in the portfolio, so that economic capital depends only on systematic risk contributions. We develop a simple methodology for approximating the...

Persistent link: https://www.econbiz.de/10010295920