Narrow search
Showing 1 - 10 of 6,912
Cover Image
Semi-Parametric Modelling of Correlation Dynamics
Hafner, C.M.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2005
, which typically happens in conventional multivariate conditional volatility models, but also the rigid structure imposed by …
Persistent link: https://www.econbiz.de/10005450907
Cover Image
Semi-Parametric Modelling of Correlation Dynamics
Hafner, Christian Matthias; van Dijk, Dick; Franses, … - Faculteit der Economische Wetenschappen, Erasmus … - 2005
, which typically happens in conventional multivariate conditional volatility models, but also the rigid structure imposed by …
Persistent link: https://www.econbiz.de/10010731661
Cover Image
Testing and Comparing Value-at-Risk Measures
Christoffersen, Peter; Hahn, Jinyong; Inoue, Atsushi - Centre Interuniversitaire de Recherche en Analyse des … - 2001
volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …
Persistent link: https://www.econbiz.de/10005100810
Cover Image
Risque de modèle de volatilité
Alami, Ali; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001
The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for … volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile …. Hence the econometrician is asked for accurate measures and reliable forecasts of volatility, not only for pricing and …
Persistent link: https://www.econbiz.de/10005100999
Cover Image
On risk management problems related to a coherence property
Fabozzi, Frank; Tunaru, Radu - In: Quantitative Finance 6 (2006) 1, pp. 75-81
Value at Risk has lost the battle against Expected Shortfall on theoretical grounds, the latter satisfying all coherence properties while the former may, on carefully constructed cases, lack the sub-additivity property that is in a sense, the most important property a risk measure ought to...
Persistent link: https://www.econbiz.de/10009208386
Cover Image
Staff costs of hospital-based outpatient care of patients with cystic fibrosis
Hollmeyer, Helge; Schreyögg, Jonas; Wahn, Ulrich; … - In: Health Economics Review 1 (2011) 1, pp. 1-8
Age of patient is a significant determinant of staff costs for CF outpatient care. For a cost-covering remuneration of outpatient treatment it seems plausible to create separate reimbursement rates for two or three age groups and to consider additional costs due to tasks carried out by...
Persistent link: https://www.econbiz.de/10010998790
Cover Image
Staff costs of hospital-based outpatient care of patients with cystic fibrosis
Hollmeyer, Helge; Schreyögg, Jonas; Wahn, Ulrich; … - In: Health Economics Review 1 (2011) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10010539399
Cover Image
Variance (Non) Causality in Multivariate GARCH
Caporin, Massimiliano - In: Econometric Reviews 26 (2007) 1, pp. 1-24
This paper extends the current literature on the variance-causality topic providing the coefficient restrictions ensuring variance noncausality within multivariate GARCH models with in-mean effects. Furthermore, this paper presents a new multivariate model, the exponential causality GARCH. By...
Persistent link: https://www.econbiz.de/10005476120
Cover Image
Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat
Sadorsky, Perry - In: Energy Economics 43 (2014) C, pp. 72-81
negative residuals tend to increase the variance (conditional volatility) more than positive ones. Correlations between these …
Persistent link: https://www.econbiz.de/10011100112
Cover Image
Do Macroeconomic Announcements Cause Asymmetric Volatility
de Goeij, Peter; Marquering, W. - Tilburg University, Center for Economic Research - 2003
Persistent link: https://www.econbiz.de/10011091651