Showing 1 - 10 of 14,674
by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …
Persistent link: https://www.econbiz.de/10011731521
Value-at-Risk (VaR) forecasting generally relies on a parametric density function of portfolio returns that ignores higher moments or assumes them constant. In this paper, we propose a new simple approach to estimation of a portfolio VaR. We employ the Gram-Charlier expansion (GCE) augmenting...
Persistent link: https://www.econbiz.de/10014213990
In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...
Persistent link: https://www.econbiz.de/10012484861
dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10010384110
volatility of individual stock returns and exchange rate returns. …
Persistent link: https://www.econbiz.de/10011332948
In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is … the estimated degrees of freedom result sensitively lower when extremely high values in the volatility process are present …
Persistent link: https://www.econbiz.de/10012718762
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH models. These models are widespread and essential tools in financial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique....
Persistent link: https://www.econbiz.de/10013156202
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
We propose a more flexible range-based volatility model which can capture volatility process better than conventional … time series data. Range-based volatility CARR model with Markov-switching structure can assist us to describe the effect … for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility …
Persistent link: https://www.econbiz.de/10013109345
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …
Persistent link: https://www.econbiz.de/10011730304