Similar Search Results

Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange

Okay, Nesrin - Volkswirtschaftliche Fakultät, … - 1998

by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the …

Persistent link: https://www.econbiz.de/10011108476

Market Efficiency and the Euro: The case of the Athens Stock Exchange

Panagiotidis, Theodore - EconWPA - 2005

. Bootstrap and asymptotic values of these tests are estimated. Alternative models from the GARCH family (GARCH, EGARCH and TGARCH …

Persistent link: https://www.econbiz.de/10005413222

Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts

Benavides, Guillermo; Capistrán, Carlos - 2009

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

Persistent link: https://www.econbiz.de/10010322599

An Evaluation Framework for Alternative VaR Models

Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002

case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …

Persistent link: https://www.econbiz.de/10005123557

Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts

Benavides, Guillermo; Capistrán, Carlos - Banco de México - 2009

Persistent link: https://www.econbiz.de/10004967931

Market Efficiency and the Euro: The case of the Athens Stock exchange.

Panagiotidis, Theodore - 2008

these tests are estimated. Alternative models from the GARCH family (GARCH, EGARCH and TGARCH) are also presented in order …

Persistent link: https://www.econbiz.de/10005649896

On the role of the estimation error in prediction of expected shortfall

Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

Persistent link: https://www.econbiz.de/10010564003

The (de)merits of minimum-variance hedging: Application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy Economics 36 (2013) C, pp. 698-707

-variance hedging models, especially those based on GARCH, generate much greater margin and transaction costs than the naïve hedge … favours the implementation of GARCH-based hedging strategies. …

Persistent link: https://www.econbiz.de/10011039586

Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts

Benavides, Guillermo; Capistrán, Carlos - In: Journal of Empirical Finance 19 (2012) 5, pp. 627-639

Persistent link: https://www.econbiz.de/10011042107

The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread

Alexander, Carol; Prokopczuk, Marcel; Sumawon, Anannit - Henley Business School, University of Reading - 2012

produced by GARCH-based models are excessive. Therefore we encourage hedgers to use a na ¨ive hedging strategy on the crack … majority of the existing literature, which favours the implementation of GARCH-based hedging strategies. …

Persistent link: https://www.econbiz.de/10010838053