In this paper we show how to compute a daily VaR measure for two stock indexes (CAC40 and SP500) using the one-day-ahead forecast of the daily realized volatility. The daily realized volatility is equal to the sum of the squared intraday returns over a given day and thus uses intraday...

We propose a practical and flexible solution to introduce skewness in multivariate symmetrical distributions. Applying this procedure to the multivariate Student density leads to a "multivariate skew-Student" density, for which each marginal has a different asymmetry coefficient. Similarly, when...

This paper studies and assesses the impact of G3 Central Bank interventions on the DEM/USD exchange rate properties using daily realized moments of exchange rate returns (obtained from intraday data) for the period 1989-2001. Event studies in terms of the realized moments for the intervention...

The purpose of this paper is to review and discuss the key improvements brought to OxGauss. Without having to install Gauss on his or her machine, the OxGauss user can run under Ox a wide range of Gauss programs and codes. Even with the consoleOx version (free for academics), Gauss codes can...

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics.

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems. We consider 10 assets from NYSE and NASDAQ and compare 125 model based one-step-ahead conditional variance...