Results 261 to 270 of about 14,734,722 (312)
Some of the next articles are maybe not open access.
From VAR models to Structural VAR models
1997In this chapter we introduce the philosophy, the basic concepts and definitions of VAR analysis (sections 1.1 and 1.2). After that, in section 1.3 we discuss the problems of VAR estimation and in section 1.4 we describe the possible uses of VAR models. Then in section 1.5 we start dealing with Structural VAR analysis, pointing out the main features of ...
Gianni Amisano, Carlo Giannini
openaire +1 more source
An Evaluation Framework for Alternative VAR Models
Journal of International Money and Finance, 2002In this paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates, whereas the latter type underestimates the risk in case of ...
Christian C. P. Wolff +2 more
openaire +2 more sources
Estimation of VAR Models Computational Aspects
Computational Economics, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Foschi, P., Kontoghiorghes, E. J.
openaire +3 more sources
A comparison of GARCH models for VaR estimation
Expert Systems with Applications, 2010This study is an attempt to compare a comprehensive list of GARCH models in quantifying risks of VaR under stress times. We gather data of stock market indices from both emerging (Brazil and Turkey) and developed (Germany and the USA) markets, over the period of global financial crisis and make use of numerous GARCH specifications to return VaR values.
Mehmet Orhan, Bülent Köksal
openaire +1 more source
Structural VAR models in the Frequency Domain
Journal of Econometrics, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Guay, Alain, Pelgrin, Florian
openaire +1 more source
, 2014 We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance.
Ching-Wai (Jeremy) Chiu +2 more
openaire +1 more source
2005
This paper analyses several volatility models by examining their ability to forecast the Value-at-Risk (VaR) for two different time periods and two capitalization weighting schemes. Specifically, VaR is calculated for large and small capitalization stocks, based on Dow Jones (DJ) Euro Stoxx indices and is modeled for long and short trading positions by
Timotheos Angelidis +2 more
openaire +1 more source
This paper analyses several volatility models by examining their ability to forecast the Value-at-Risk (VaR) for two different time periods and two capitalization weighting schemes. Specifically, VaR is calculated for large and small capitalization stocks, based on Dow Jones (DJ) Euro Stoxx indices and is modeled for long and short trading positions by
Timotheos Angelidis +2 more
openaire +1 more source
2023
Credit value at risk (VaR) is used for measuring and analyzing credit risk of a portfolio. The basic methodology of the Credit VaR employs the credit migration approach spearheaded by RiskMetrics. It assumes that obligor's credit quality is determined by the obligor's asset value, which in turn is approximated by its standardized equity return.
openaire +1 more source
Credit value at risk (VaR) is used for measuring and analyzing credit risk of a portfolio. The basic methodology of the Credit VaR employs the credit migration approach spearheaded by RiskMetrics. It assumes that obligor's credit quality is determined by the obligor's asset value, which in turn is approximated by its standardized equity return.
openaire +1 more source
2004
In this chapter we discuss alternative model reduction strategies for the specification of subset VAR models. Before we present a number of subset modeling procedures in Section 2.2, we start by introducing the basics of the VAR modeling framework in Section 2.1.
openaire +1 more source
In this chapter we discuss alternative model reduction strategies for the specification of subset VAR models. Before we present a number of subset modeling procedures in Section 2.2, we start by introducing the basics of the VAR modeling framework in Section 2.1.
openaire +1 more source
A Sequential Modelling of the VaR
SSRN Electronic Journal, 2009We consider the VaR associated with the global loss generated by a set risk sources. We propose a sequence of simple models incorporating progressively the notions of contagion due to instantaneous correlations, of serial correlation, of evolution of the instantaneous correlations, of volatility clustering, of conditional heteroskedasticity and of ...
openaire +1 more source