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Cryptocurrencies : a copula based approach for asymmetric risk marginal allocations

Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad - 2020

, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …

Persistent link: https://www.econbiz.de/10012542685

Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process

Degiannakis, Stavros; Livada, Alexandra - In: Economic Modelling 30 (2013) C, pp. 212-216

The study provides evidence in favor of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day datasets are unavailable or they are available at a low sampling frequency.

Persistent link: https://www.econbiz.de/10010608267

The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures

Santos, António Alberto - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2015

In this paper, we calculate the realized volatility measures using intraday data not equally spaced in time. The aim is to compare these measures with the ones from the stochastic volatility model. With this model, the data used are obtained in equal time intervals. Known facts are that the...

Persistent link: https://www.econbiz.de/10011274612

ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models

Creel, Michael; Kristensen, Dennis - In: Journal of Empirical Finance 31 (2015) C, pp. 85-108

We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Computation which build likelihoods based on limited information. The proposed estimators and filters are computationally attractive relative...

Persistent link: https://www.econbiz.de/10011263469

ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models

Creel, Michael; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2014

Persistent link: https://www.econbiz.de/10010892068

Localized Realized Volatility Modelling

Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Persistent link: https://www.econbiz.de/10005677947

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

Barendse, Sander; Kole, Erik; van Dijk, Dick - 2019

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...

Persistent link: https://www.econbiz.de/10012114811

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - Department of Economics, Adam Smith Business School - 2014

management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on … asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et … methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular …

Persistent link: https://www.econbiz.de/10011078452

Backtesting Value-at-Risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019

Persistent link: https://www.econbiz.de/10012057163

Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility

Baruník, Jozef; Křehlík, Tomáš - 2014

In the past decade, the popularity of realized measures and various linear models for volatility forecasting has attracted attention in the literature on the price variability of energy markets. However, results that would guide practitioners to a specific estimator and model when aiming for the...

Persistent link: https://www.econbiz.de/10011340637