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Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

Persistent link: https://www.econbiz.de/10010324653

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Theodossiou, Panayiotis; McDonald, James B.; Hansen, … - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-7, pp. 1-20

conventional regression procedures, such as ordinary least squares estimation, when modeling non-normal errors with skewness and …

Persistent link: https://www.econbiz.de/10010295290

Nonparametric regression estimation for multivariate null recurrent processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...

Persistent link: https://www.econbiz.de/10011755281

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, Uta - 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/10010274148

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014

estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …

Persistent link: https://www.econbiz.de/10010331352

Finite-Sample Stability of the KPSS Test

Jönsson, Kristian - 2006

in the current paper, it turns out that using the Bartlett kernel in the long-run variance estimation renders the most …

Persistent link: https://www.econbiz.de/10013208507

Data-Mining Bootstrap Procedure with Potential Predictors in Forecasting Models: Evidence from Eight Countries in the Asia-Pacific Stock Markets

Lee, Hojin - In: East Asian Economic Review (EAER) 23 (2019) 4, pp. 333-351

We use a data-mining bootstrap procedure to investigate the predictability test in the eight Asia-Pacific regional stock markets using in-sample and out-of-sample forecasting models. We address ourselves to the data-mining bias issues by using the data-mining bootstrap procedure proposed by...

Persistent link: https://www.econbiz.de/10015397881

In-Sample and Out-of-Sample Predictability of Cryptocurrency Returns

Park, Kyungjin; Lee, Hojin - In: East Asian Economic Review (EAER) 27 (2023) 3, pp. 213-242

This paper investigates whether the price of cryptocurrency is determined by the US dollar index, the price of investment assets such gold and oil, and the implied volatility of the KOSPI. Overall, the returns on cryptocurrencies are best predicted by the trading volume of the cryptocurrency...

Persistent link: https://www.econbiz.de/10015397912

Time varying hierarchical archimedean copulae

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the …

Persistent link: https://www.econbiz.de/10010270704

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang Karl; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … conditional on the physical measure of the underlying asset. Via direct series type estimation of the pricing kernel we can derive …

Persistent link: https://www.econbiz.de/10010270813