[PDF] Top 20 Volatility, Duration, and Value-at-Risk
Has 10000 "Volatility, Duration, and Value-at-Risk" found on our website. Below are the top 20 most common "Volatility, Duration, and Value-at-Risk".
Volatility, Duration, and Value-at-Risk
... GARCH volatility and jump intensity ...realized volatility from 5-minute intraday data for evaluation, the threshold GARCH-jump model out- performs the single regime autoregressive jump intensity model to ... See full document
157
Are Value At Risk And Maximum Drawdown Different From Volatility In Stock Market?
... Although volatility has strong theoretical support, it has a few ...time-varying volatility, structural volatility and so on (see Duffie & Jun, ...of volatility. Volatility or ... See full document
6
Presenting a Model for Multiple-Step-Ahead-Forecasting of Volatility and Conditional Value at Risk in Fossil Energy Markets
... at Risk by ES-type models have not been used in any study ...forecasting volatility error compared to other ...the volatility of fossil energy ...of Value at Risk and Conditional ... See full document
12
Value at risk Predictions of Precious Metals with Long Memory Volatility Models
... the value-at-risk (VaR) predictions of major precious metals with long memory volatility models under normal and student-t ...the volatility process of precious ...conditional ... See full document
25
Robust Inference with Quantile Regression in Stochastic Volatility Models with application to Value at Risk calculation
... Stochastic Volatility (SV) models play an integral role in modeling time varying volatility, with widespread application in ...of risk assessment when the underlying model is SV, computing the one ... See full document
142
Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products
... correct risk measure model must take into account stylized facts of commodity return ...present volatility clustering, are fat tailed, skewed, governed by a long range memory ...account volatility ... See full document
18
Using CAViaR models with implied volatility for value-at-risk estimation
... autoregressive value at risk (CAViaR) time series models and implied ...implied volatility into the CAViaR models, a procedure that has not been considered in the VaR area so ...implied ... See full document
29
Analytical Estimation of Value at Risk Under Thick Tails and Fast Volatility Updating
... Figure 3-1 below, shows example of Bank of New York VaR disclosure. Bank of New York illustrates that they use VaR as one of three measures to manage trading risk. The bank measures VaR at the 99 percent ... See full document
188
Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
... Using an extensive array of statistical and regulatory risk management loss functions, we find that the realized volatility and the augmented GARCH models with the FHS or the EVT quantil[r] ... See full document
64
The Importance of the Volatility Risk Premium for Volatility Forecasting
... closing prices, respectively. This estimator can be loosely described as a high-frequency estimator. We specifically select this estimator because, in addition to capturing the highest and lowest intra day prices, it ... See full document
50
Volatility Forecasting and Volatility Risk Premium
... years, volatility forecasting and volatility risk premium are becoming more and more important in financial ...implied volatility originated from the variance swap ...fair value and ... See full document
5
Dependence and Value at Risk in the Stock Markets from the Americas: A Copula Approach
... extreme value theory to model dependence structures between the Chinese stock market and the US, UK, Japan, Hong Kong and Taiwan ...examine volatility dependence structure between the Mexican and the world ... See full document
20
Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
... the volatility persistence for daily return series of Turkish Stock Market, and to compare the performance of various VaR models with normal, student-t and skewed student-t ...the volatility features of the ... See full document
13
Volatility and duration models for financial intaday data: formulation, estimation and evaluation
... The aim of this survey is to built and test BIN(1,1) model for the counts data. Before generating the data by parametrization, we used these data for estimation by the ML method for the BIN(1,1) validation. The results ... See full document
19
Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data
... the risk valuation ...time duration between successive trades has not been approached in the risk valuation literature despite its importance for order driven markets except by Dione et al (2006) who ... See full document
14
Asymmetric Realized Volatility Risk
... high volatility are far more frequent than days of very high volatility and tail return ...2.1. Volatility risk: empirical regularities. Volatility risk is a substantive issue ... See full document
30
Risk-free Yields, Risk Aversion, and Volatility
... to risk analysis is rooted in the belief that risk aversion is constant, determined by constant ...acceptable. Risk aversion can change over short time, between sovereign countries, and on different ... See full document
8
The Turkish option market
... the volatility of the underlying value and a relatively sharp increase in predicted improvements with a lower ...the volatility of the underlying ...the risk-free interest rate influence the ... See full document
47
Essays on Modeling of Volatility, Duration and Volume in High-frequency Data.
... for the case where a trade event consist of forty consecutive trades. For the returns of BAC, the skewness is negative but close to zero and the kurtosis is much larger than the normal value of three. The returns ... See full document
147
Determining pledged loan-to-value ratio: an option pricing perspective
... Third, volatility influences the pledged loan-to- value ratio, and therefore, this method can be used to analyze the manner in which the pledged loan-to-value ratio varies with different types of ... See full document
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