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Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
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Testing and modelling time series with time varying tails
Palumbo, Dario - 2021
Persistent link: https://www.econbiz.de/10013254110
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Hedging the Black Swan : Conditional Heteroskedasticity and Tail Dependence in S&P500 and Vix
Abbas, Sawsan - 2010
The recent financial crisis has accentuated the fact that extreme outcomes have been overlooked and not dealt with adequately. While extreme value theories have existed for a long time, the multivariate variant is difficult to handle in the financial markets due to the prevalent...
Persistent link: https://www.econbiz.de/10013148084
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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012158736
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GARCH models, tail indexes and error distributions : an empirical investigation
Šopov, Boril; Horváth, Roman - 2015
We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...
Persistent link: https://www.econbiz.de/10010529886
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GARCH models, tail indexes and error distributions : an empirical investigation
Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Brauchler, Ryan - 2012
estimator of conditional mean and volatility used in the conditional heteroskedastic autoregressive nonlinear (CHARN) model …
Persistent link: https://www.econbiz.de/10013100621
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The generalized lognormal distribution and the Stieltjes moment problem
Kleiber, Christian - 2012
volatility. Compared to the classical lognormal distribution it has an additional shape parameter. It emerges that moment (in …
Persistent link: https://www.econbiz.de/10009718091
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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...
Persistent link: https://www.econbiz.de/10011474619