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

Härdle, Wolfgang Karl; Mungo, Julius - 2008

portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …

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

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

On loss functions and ranking forecasting performances of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10009719647

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien - 2012

framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …

Persistent link: https://www.econbiz.de/10013116642