Add to ORKGThe mixture structure of the generalized hyperbolic distribution of Barndorff-Nielsen (1997) is explored to quantify the contemporaneous correlation between return and volatility and to identify the effects of volatility feedback and risk premium within GARCH models. The statistical analysis of the excess returns based on the CRSP value-weighted portfolio index supports both volatility feedback and risk premium theories.
It is sometimes argued that an increase in stock market volatility raises required stock returns, an...
The thesis examines the variance-covariance approach to the estimation of portfolio Value-at-Risk us...
In this paper, we let the data speak for itself about the existence of volatility feedback and the o...
We establish a relation between stochastic volatility models and the class of generalized hyperbolic...
The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Gen...
The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Gen...
This paper estimates how the shape of the implied volatility smile and the size of the variance risk...
SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...
This paper estimates how the shape of the implied volatility smile and the size of the variance risk...
We examine the relationship between the risk premium on the S&P 500 index return and its conditional...
In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH...
In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH...
Volatility Smile, and the Variance Risk Premium This paper relates the shape of the implied volatili...
In this article we propose the generalized hyperbolic adaptive volatility (GHADA) risk management mo...
In this paper, we let the data speak for itself about the existence of volatility feedback and the o...
It is sometimes argued that an increase in stock market volatility raises required stock returns, an...
The thesis examines the variance-covariance approach to the estimation of portfolio Value-at-Risk us...
In this paper, we let the data speak for itself about the existence of volatility feedback and the o...
We establish a relation between stochastic volatility models and the class of generalized hyperbolic...
The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Gen...
The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Gen...
This paper estimates how the shape of the implied volatility smile and the size of the variance risk...
SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...
This paper estimates how the shape of the implied volatility smile and the size of the variance risk...
We examine the relationship between the risk premium on the S&P 500 index return and its conditional...
In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH...
In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH...
Volatility Smile, and the Variance Risk Premium This paper relates the shape of the implied volatili...
In this article we propose the generalized hyperbolic adaptive volatility (GHADA) risk management mo...
In this paper, we let the data speak for itself about the existence of volatility feedback and the o...
It is sometimes argued that an increase in stock market volatility raises required stock returns, an...
The thesis examines the variance-covariance approach to the estimation of portfolio Value-at-Risk us...
In this paper, we let the data speak for itself about the existence of volatility feedback and the o...