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Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity

Gürtler, Marc; Rauh, Ronald - 2012

In this paper we analyze an econometric model for non-stationary asset returns. Volatility dynamics are modelled by …-term forecasting abilities of the univariate approach. The non-stationary regression model outperforms parametric risk models and …

Persistent link: https://www.econbiz.de/10010311043

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - 2009

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

Persistent link: https://www.econbiz.de/10010307938

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2009

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

Persistent link: https://www.econbiz.de/10009646422

A non-stationary approach for financial returns with nonparametric heteroscedasticity

Gürtler, Marc; Kreiss, Jens-Peter; Rauh, Ronald - 2009

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

Persistent link: https://www.econbiz.de/10010307946

A non-stationary approach for financial returns with nonparametric heteroscedasticity

Gürtler, Marc; Kreiss, Jens-Peter; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2009

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

Persistent link: https://www.econbiz.de/10009646426

Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns

Gürtler, Marc; Rauh, Ronald - 2013

forecasts. Our evaluations verify a reasonable approximation and a satisfactory forecasting quality with an out performance …

Persistent link: https://www.econbiz.de/10010311041

Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns

Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2013

forecasts. Our evaluations verify a reasonable approximation and a satisfactory forecasting quality with an out performance …

Persistent link: https://www.econbiz.de/10010985506

Statistical Properties of Forward Libor Rates

Alexander, Carol; Lvov, Dimitri - Henley Business School, University of Reading - 2003

historical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999, 2000), Longstaff, Santa Clara and Schwartz (1999), Rebonato (1999a,b,c), Rebonato and Joshi (2001) and many others - a Libor yield curve needs to be fit to the available data...

Persistent link: https://www.econbiz.de/10005558300

The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt

Ezzat, Hassan - Volkswirtschaftliche Fakultät, … - 2012

Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil … periods. The objective of this paper is to study volatility of daily stock returns listed on the Egyptian Exchange during the …

Persistent link: https://www.econbiz.de/10011111235

(Un)Modelling the Volatility Surface : Valuing South African Volatility Surfaces Via Risk-Neutral Historic Return Distributions

Flint, Emlyn James - 2016

The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

Persistent link: https://www.econbiz.de/10012994178