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Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

Verbeek, Marno; Rombouts, J.V.K. - Erasmus Research Institute of Management (ERIM), … - 2009

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value … the semi-parametric model performs uniformly well, while parametric models in several cases have unacceptable failure …

Persistent link: https://www.econbiz.de/10010731535

A generalized dynamic conditional correlation model for many asset returns

Hafner, Christian Matthias; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2003

In this paper we put forward a generalization of the Dynamic Conditional Correlation (DCC) Model of Engle (2002). Our model allows for asset-specific correlation sensitivities, which is useful in particular if one aims to summarize a large number of asset returns. The resultant GDCC model is...

Persistent link: https://www.econbiz.de/10010837700

Estimation of temporally aggregated multivariate GARCH models

Hafner, Christian Matthias; Rombouts, J.V.K. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the aggregated process is in general not known. Thus, one...

Persistent link: https://www.econbiz.de/10010837845

Asymptotic theory for a factor GARCH model

HAFNER, Christian M.; PREMINGER, Arie - Center for Operations Research and Econometrics (CORE), … - 2006

This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and - mixing with exponential decay rates are established. These conditions allow for volatility spill-over and integrated...

Persistent link: https://www.econbiz.de/10005043296

Estimation of temporally aggregated multivariate GARCH models

HAFNER, Christian; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003

Persistent link: https://www.econbiz.de/10005043585

Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models

Verbeek, Marno; Rombouts, Jeroen VK - Society for Computational Economics - SCE - 2005

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a … returns on the S\&P 500 and Nasdaq indexes. Examining the within sample VaRs of a set of given portfolios shows that the semi-parametric …. Again, the superiority and robustness of the semi-parametric model is confirmed …

Persistent link: https://www.econbiz.de/10005706293

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

Modeling the Conditional Covariance between Stock and Bond Returns

de Goeij, de Goeij, P.; Marquering, Marquering, W.A. - Erasmus Research Institute of Management (ERIM), … - 2002

To analyze the intertemporal interaction between the stock and bond market returns, we allow the conditional covariance matrix to vary over time according to a multivariate GARCH model similar to Bollerslev, Engle and Wooldridge (1988). We extend the model such that it allows for asymmetric...

Persistent link: https://www.econbiz.de/10010730877

Price volatility forecasts for agricultural commodities:an application of volatility models,option implieds and composite approaches forfutures prices of corn and wheat

Benavides, Guillermo - In: Revista de Administración, Finanzas y Economía … 3 (2009) 2, pp. 40-59

There has been substantial research effort aimed to forecast futures price return volatilities of financial and commodity assets. Some part of this research focuses on the performance of time-series models (in particular ARCH models) versus option implied volatility models. A significant part of...

Persistent link: https://www.econbiz.de/10008764149

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10013441507