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Displaying results 26 to 50 of 50.

  1. Financial integration, inclusion and stability during crises
    insights from the MENA region
    Author: Abdelmageed, Samar
    Published: [2021]
    Publisher:  Economic Research Forum (ERF), Dokki, Giza, Egypt

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    Media type: Book
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    Series: ERF working papers series ; no. 1518 (December 2021)
    Subjects: Financial integration; financial inclusion; financial stability; financial contagion; spillover; GARCH; Dynamic Correlation Coefficients (DCC); Panel VAR (PVAR); MENA
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  2. An empirical characterization of volatility dynamics in the DAX
    Author: Virla, Leonardo Quero
    Published: September 2021
    Publisher:  Berlin School of Economics and Law, Institute for International Political Economy Berlin, Berlin

    This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model where... more

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    This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its historical peak between 2000 and 2004. Moreover, animal spirits play an important role across different quantiles of the volatility distribution, whereas the relevance of established risk factors proposed in the literature is limited to specific cases. Overall, the findings stress the importance of appropriate distributional assumptions when analyzing extreme financial events.

     
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    hdl: 10419/243177
    Series: Working paper / Institute for International Political Economy Berlin ; no. 167 (2021)
    Subjects: Asset prices; volatility; GARCH; quantile regression; DAX
    Scope: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  3. Real-time forecast of DSGE models with time-varying volatility in GARCH form
    Author: Ivashchenko, Sergey; Ҫekin, Semih Emre; Gupta, Rangan
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 04 (January 2022)
    Subjects: DSGE; forecasting; GARCH; stochastic volatility; conditional correlations
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  4. Regular variation of popular GARCH processes allowing for distributional asymmetry
    Author: Prono, Todd
    Published: August 2017
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a... more

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    Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in establishing the asymptotic properties of certain GARCH estimators proposed in the literature

     
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    Language: English
    Media type: Book
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    Edition: First version: August 2017
    Series: Finance and economics discussion series ; 2017, 095
    FEDS Working Paper ; No. 2017-095
    Subjects: GARCH; Pareto tails; Heavy tail; Regular variation; Threshold GARCH
    Scope: 1 Online-Ressource (circa 11 Seiten)
  5. Fiscal activism and price volatility
    evidence from advanced and emerging economies
    Author: Afonso, António; Jalles, João Tovar
    Published: [2017]
    Publisher:  ISEG - School of Economics and Management, Department of Economics, University of Lisbon, Lisbon

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    Series: Working papers / ISEG, Lisbon School of Economics & Management, Department of Economics ; WP 2017, 04 DE/UECE
    Subjects: volatility; fiscal policy; inflation; GARCH; Consensus Forecasts
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  6. Effect of exchange rate volatility on tax revenue performance in sub-Saharan Africa
    Author: Ofori, Isaac Kwesi; Obeng, Camara Kwasi; Mwinlaaru, Peter Y.
    Published: [2021]
    Publisher:  African Governance and Development Institute, [Yaoundé]

    Efforts to spur growth in sub-Sahara Africa have been intensified amid structural and institutional constraints. Tax revenue, the chief source of funding for developmental purposes in SSA remains low and unstable. In fact, the SSA sub-region finds it... more

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    Efforts to spur growth in sub-Sahara Africa have been intensified amid structural and institutional constraints. Tax revenue, the chief source of funding for developmental purposes in SSA remains low and unstable. In fact, the SSA sub-region finds it difficult generating tax revenue up to 20 per cent of GDP. One factor that has not caught the attention of policymakers in terms of its impact on tax revenue performance is exchange rate volatility. Using macrodata spanning 1984 to 2017 for 21 countries, we provide empirical evidence from a panel autoregressive distributed lag technique to show that exchange rate volatility is directly harmful to tax revenue performance, and indirectly through trade openness.

     
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    Other identifier:
    hdl: 10419/244206
    Series: AGDI working paper ; WP/21, 031
    Subjects: Cointegration; Exchange Rate Volatility; GARCH; Sub-Sahara Africa; Tax Revenue
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  7. The good, the bad, and the asymmetric
    evidence from a new conditional density model
    Author: Kostyrka, Andreï; Malakhov, Dmitry
    Published: 2021
    Publisher:  University of Luxemborg, Faculty of Law, Economics and Finance, Luxembourg

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    Language: English
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    Other identifier:
    hdl: 10993/47435
    Series: Discussion paper / Department of Economics and Management, University of Luxembourg ; 2021, 09
    Subjects: GARCH; conditional density; leverage effect; jumps; bad volatility; good volatility
    Scope: 1 Online-Ressource (circa 42 Seiten)
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    Zugriff auf den Volltext nur auf Anfrage
  8. Foreign exchange intervention rule for central banks
    risk-based framework
    Author: Lafarguette, Romain; Veyrune, Romain
    Published: February 2021
    Publisher:  International Monetary Fund, [Washington, DC]

    This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk... more

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    This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data between 2008 and 2016

     
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    Source: Staatsbibliothek zu Berlin
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    Media type: Ebook
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    ISBN: 9781513569406
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    Series: IMF working paper ; WP/21, 32
    Subjects: Foreign Exchange Interventions; Value at Risk; GARCH
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  9. Endogenous and exogenous volatility in the foreign exchange market
    Author: Bargigli, Leonardo; Cifarelli, Giulio
    Published: [2020]
    Publisher:  DISEI, Università degli Studi di Firenze, Firenze (Italia)

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    Language: English
    Media type: Book
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    Series: Array ; 2020, n. 17
    Subjects: heteroskedasticity; asset pricing model; heterogeneous beliefs; market making; foreign exchange market; Markov switching; GARCH; SVAR; high frequency data
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  10. Essays on European agricultural and trade policies, and their effects on agricultural mrkets
    Author: Berger, Jurij
    Published: 2021

    The Common Agricultural Policy of the European Union (CAP) has a long tradition. After World War II, agricultural and food production in Europe was substantially weakened and unable to provide sufficient food for the domestic population. The CAP... more

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    The Common Agricultural Policy of the European Union (CAP) has a long tradition. After World War II, agricultural and food production in Europe was substantially weakened and unable to provide sufficient food for the domestic population. The CAP emerged from this situation, with the objectives of increasing agricultural productivity and thereby ensuring the standard of living of the population engaged in agriculture, as well as stabilizing markets and ensuring a supply of food for the population at reasonable prices. With substantial market interventions, effective external protection as we...

     
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    Contributor: Brümmer, Bernhard (AkademischeR BetreuerIn); Cramon-Taubadel, Stephan von (AkademischeR BetreuerIn); Kopp, Thomas (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 21.11130/00-1735-0000-0008-58E4-4
    Subjects: Common Agricultural Policy; CAP; European Union; Trade Policy; Volatility; GARCH; Price Transmission; Sugar Market; Food Prices
    Scope: 1 Online-Ressource (circa 77 Seiten), Illustrationen, Diagramme
    Notes:

    Dissertation, Georg-August-Universität Göttingen, 2021
  11. GARCH analyses of risk and uncertainty in the theories of the interest rate of Keynes and Kalecki
    Author: Gabrisch, Hubert
    Published: January 2021
    Publisher:  Wiener Institut für Internationale Wirtschaftsvergleiche, Wien

    This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate theories of Keynes and Kalecki. While Keynes stated that the future of the rate of interest is uncertain because it is numerically... more

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    This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate theories of Keynes and Kalecki. While Keynes stated that the future of the rate of interest is uncertain because it is numerically incalculable, Kalecki was convinced that it could be predicted. The theories are empirically tested using a reduced-form GARCH-in-mean model assigned to six globally leading financial markets. The obtained results support Keynes's theory - the long-term rate of interest is a nonergodic financial phenomenon. Analyses of the relation between the interest rate and macroeconomic variables without interest uncertainty are thus seriously incomplete.

     
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    hdl: 10419/240634
    Series: Working paper / wiiw ; 191
    Subjects: uncertainty; interest rate; Keynes; Kalecki; GARCH
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  12. Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
    Author: Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel
    Published: febrero, 2020
    Publisher:  Departamento de Economía, Pontificia Universidad Católica del Perú, Lima, Perú

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    Series: Documento de trabajo / Departamento de Economía, PUCP ; no 484
    Subjects: Returns; Volatility; GARCH; Stochastic Volatility; Commodities; Bayesian Estimation; Fat Tails; Jumps; Leverage
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  13. Semiparametric maximum likelihood estimation of GARCH models
    Author: Yang, Jian
    Published: 1998

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    W 1124 (9816)
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    Source: Union catalogues
    Language: English
    Media type: Book
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    ISBN: 0771421389
    Series: Research report / Department of Economics, Social Science Centre, University of Western Ontario ; 9816
    Subjects: Schätztheorie; Theorie; GARCH
    Scope: 38 S
  14. Consistent estimation for aggregated GARCH processes
    Author: Komunjer, Ivana
    Published: 2001

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    Series: Discussion paper / University of California, San Diego, Department of Economics ; 2001,08
    Subjects: Schätztheorie; Theorie; Maximum-Likelihood-Schätzung; GARCH
    Scope: 42 S, graph. Darst
  15. Ensembling ARIMAX model in algorithmic investment strategies on commodities market
    Author: Jakubowski, Paweł; Ślepaczuk, Robert; Windorbski, Franciszek
    Published: 2023
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2023, 20 = 427
    Subjects: ARIMA(X); GARCH; ARIMA(X)/GARCH; Algorithmic Investment Strategies; Granger Causality; Investment Performance Evaluation; Trading Systems; Forecasting Models
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  16. Optimal markowitz portfolio using returns forecasted with time series and machine learning models
    Author: Ślusarczyk, Damian; Ślepaczuk, Robert
    Published: 2023
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2023, 17 = 424
    Subjects: Algorithmic Investment Strategies; Markowitz framework; portfolio optimization; forecasting; ARIMA; GARCH; XGBoost; minimum variance
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  17. Bootstrapping GARCH models under dependent innovations
    Author: Beutner, Eric; Schaumburg, Julia; Spanjers, Barend
    Published: [2024]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for GARCH models under dependent innovations. We introduce a novel recursive-design residual block bootstrap procedure to accurately quantify the uncertainty... more

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    This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for GARCH models under dependent innovations. We introduce a novel recursive-design residual block bootstrap procedure to accurately quantify the uncertainty around parameter estimates and volatility forecasts. A simulation study provides evidence for the validity of the recursive-design residual block bootstrap in the presence of dependent innovations. The resulting bootstrap confidence intervals are not only valid but also potentially narrower than the ones obtained from the inconsistent fixed design bootstrap, depending on the underlying data-generating process and the sample size. In an application to financial time series, we illustrate the empirical relevance of our proposed methods, showing evidence for the residual dependence and demonstrating notable differences between the confidence intervals obtained by the fixed- and the recursive-design bootstrap procedure.

     
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    Other identifier:
    hdl: 10419/282905
    Series: Array ; TI 2024, 008
    Subjects: GARCH; Dependent Innovations; Residual Block Bootstrap
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  18. Drivers of commercial paper rate spread
    an empirical assessment
    Author: Priyadarshini, Priyanka; Anshul; Sardar, Srijashree; Chaudhari, Dipak R.; Dasgupta, Sangeeta
    Published: March 2024
    Publisher:  Reserve Bank of India, Department of Economic and Policy Research, [Mumbai]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: RBI working paper series ; WPS (DEPR) 2024, 02
    Subjects: Commercial paper; GARCH; money market; market liquidity
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  19. Bayesian predictive distributions of oil returns using mixed data sampling volatility models
    Author: Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran
    Published: [2023]
    Publisher:  Örebro University School of Business, Örebro, Sweden

    This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 776
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    This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of relevant financial/macroeconomic news into asset price movements. For inference and prediction, we employ an innovative Bayesian estimation approach called the density-tempered sequential Monte Carlo method. Our findings indicate that the inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV-type models. Notably, GAS-family models exhibit superior performance in terms of in-sample fit, out-of-sample forecast accuracy, as well as Value-at-Risk and Expected Shortfall prediction.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/274606
    Series: Array ; 2023, 7
    Subjects: ES; GARCH; GAS; log marginal likelihood; MIDAS; SV; VaR
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  20. Essays on financial models
    Author: Amilon, Henrik
    Published: 2000
    Publisher:  Department of Economics, Lund

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    B 314633
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    Series: Lund economic studies ; 92
    Subjects: Portfolio-Management; Chaostheorie; Hedging; Optionspreistheorie; ARCH-Modell; Neuronale Netze; Theorie; Nichtlineare Regression; GARCH
    Scope: IX, 116 S
    Notes:

    Enth. 5 Beitr

    Zugl.: Lund, Univ., Diss., 2000
  21. Using simulated currency rainbow options to evaluate covariance matrix forecasts
    Author: Byström, Hans N. E.
    Published: 2000

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 627 (2000.17)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / Department of Economics, School of Economics and Management, University of Lund ; 2000,17
    Subjects: Prognoseverfahren; Devisenoption; Varianzanalyse; GARCH
    Scope: 17 S, graph. Darst
    Notes:

    Literaturverz. S. 16 - 17
  22. A survey of recent theoretical results for time series models with GARCH errors
    Published: June 2001
    Publisher:  Inst. of Social and Economic Research, Osaka

    This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 371 (545)
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    This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA-GARCH are summarized. Various new ARCH-type models, including double threshold ARCH and GARCH, ARFIMA-GARCH, CHARMA and vector ARMA-GARCH, are also reviewed.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/92581
    Edition: [Elektronische Ressource]
    Series: Discussion paper / the Institute of Social and Economic Research, Osaka University ; 545
    Subjects: Zeitreihenanalyse; ARCH-Modell; Theorie; GARCH
    Scope: Online Ressource, 34 p., text
  23. Estimation and testing for unit root processes with GARCH(1,1) errors
    theory and Monte Carlo evidence
    Published: June 2001
    Publisher:  Inst. of Social and Economic Research, Osaka

    Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition alpha + beta < 1. The former has the usual... more

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    Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition alpha + beta < 1. The former has the usual unit root distribution and the latter is a functional of a bivariate Brownian motion, as in Ling and Li (1998). Several unit root tests based on LS estimators, ML estimators, and mixing LS and ML estimators, are constructed. Simulation results show that tests based on mixing LS and ML estimators perform better than Dickey-Fuller tests which are based on LS estimators, and that tests based on the ML estimators perform better han the mixed estimators. -- Asymptotic distribution ; Brownian motion ; GARCH model ; Least squares estimator ; Maximum likelihood estimator ; Unit root

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/92761
    Edition: [Elektronische Ressource]
    Series: Discussion paper / the Institute of Social and Economic Research, Osaka University ; 544
    Subjects: Einheitswurzeltest; Theorie; GARCH
    Scope: Online Ressource, 28 p., text
  24. Managing extreme risks in tranquil and volatile markets using conditional extreme value theory
    Author: Byström, Hans N. E.
    Published: 2001

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 627 (2001.18)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / Department of Economics, School of Economics and Management, University of Lund ; 2001,18
    Subjects: Risikomanagement; Theorie; Risikomaß; GARCH
    Scope: 23 S, graph. Darst
    Notes:

    Literaturverz. S. 18 - 19
  25. Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with hetereogenous dependent errors
    Author: Coudin, Elise; Dufour, Jean-Marie
    Published: February 2017
    Publisher:  CIRANO, Centre interuniversitaire de recherche en analyse des organisations, Montréal

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Scientific series / CIRANO, Centre interuniversitaire de recherche en analyse des organisations ; 2017s-06
    Subjects: sign-based methods; median regression; test inversion; Hodges-Lehmann estimators; confidence distributions; p-value function; least absolute deviation estimators; quantile regressions; sign test; simultaneous inference; Monte Carlo tests; projection methods; non-normality; heteroskedasticity; serial dependence; GARCH; stochastic volatility
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen