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La propiedad de simetría en los rendimientos financieros diarios españoles

Giménez, Amado Peiró - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1996

This paper analyses the symmetry of daily returns in the Madrid stock market and in the exchange rates of the peseta against the US dollar , the Japanese yen and the German mark. Given the non-normality of the returns, the problem is tackled under alternative distributions, and a procedure is...

Persistent link: https://www.econbiz.de/10008602614

Testing for Structural Breaks at Unknown Time: A Steeplechase

El-Shagi, Makram; Giesen, Sebastian - Institut für Wirtschaftsforschung Halle (IWH) - 2010

. However, each test is signiﬁcantly aﬀected by leptokurtosis. Contrarily to other tests, where skewness is far more problematic …

Persistent link: https://www.econbiz.de/10008519860

SKEWNESS IN INDIVIDUAL STOCKS AT DIFFERENT FREQUENCIES

Peiró, Amado - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2001

to question several financial models; in particular, they question the preference for positive skewness as a factor for …

Persistent link: https://www.econbiz.de/10005515809

SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE

León, Ángel; Fiorentini, Gabriele; Rubio, Gonzalo - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2000

estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model …

Persistent link: https://www.econbiz.de/10005212597

ADJUSTING CORRELATION MATRICES

León, Ángel; Ferrando, Josep Enric Peris; Subiza, Begoña - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2000

The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...

Persistent link: https://www.econbiz.de/10005731376

The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio

Dannenberg, Henry - Institut für Wirtschaftsforschung Halle (IWH) - 2011

This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter-rating class correlation, degree of inhomogeneity, number of...

Persistent link: https://www.econbiz.de/10009189890

Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und eine...

Dannenberg, Henry - Institut für Wirtschaftsforschung Halle (IWH) - 2009

region for a short credit history is bootstrapping. Hence, it could be more appropriate to assess estimation uncertainty with … bootstrapping than with asymptotic methods if only a short credit history is available. Based on a simulation study, it is analyzed … bootstrapping and a Wald confidence region shall achieve similar results. This article shows that more than 100 cycles have to be …

Persistent link: https://www.econbiz.de/10005426802

A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994

Paya, Ivan; Peel, David A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. In recent work the equilibrium level has been modeled either as constant or as time varying with very similar statistical fits and very different economic...

Persistent link: https://www.econbiz.de/10005731369

NONLINEAR PPP UNDER THE GOLD STANDARD

Paya, Ivan; Peel, David A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2004

1792-1913, under the Gold Standard. Rather, purchasing power parity deviations are mean-reverting to a changing equilibrium … nonlinear adjustment process allowing for both a constant and a mean shifting equilibrium. Our results confirm that real …

Persistent link: https://www.econbiz.de/10005731386