Showing 1 - 10 of 55
The present thesis comprises two rather independent chapters. In general, the diagnosis and quantification of dependence is a major aim of econometric studies. Along these lines, the concept of dependence serves as an encompassing framework to analyze time series with two very different...
Persistent link: https://www.econbiz.de/10012799255
Persistent link: https://www.econbiz.de/10000992357
Persistent link: https://www.econbiz.de/10001363211
Persistent link: https://www.econbiz.de/10001388900
Persistent link: https://www.econbiz.de/10001580374
Persistent link: https://www.econbiz.de/10001640371
Persistent link: https://www.econbiz.de/10002220931
Persistent link: https://www.econbiz.de/10001918978
Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers have proposed PURTs that are pivotal in the presence of volatility shifts. The applicability of these tests, however, has been restricted to cases where the data contains only an...
Persistent link: https://www.econbiz.de/10012953480
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...
Persistent link: https://www.econbiz.de/10013084434