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Further development of semiparametric volatility models and their applications to value at risk and expected shortfall / von Xuehai Zhang, M.A. Paderborn, 2019
Inhalt
List of Tables
List of Figures
List of Abbreviations
Introduction
Parametric and Semiparametric Models
Introduction
Overview of the volatility models
The ARCH model
The GARCH model
The APARCH model
The EGARCH model
The component GARCH model
The ACD model
The semiparametric GARCH model
The semiparametric ACD model
Final remarks
SemiGARCH models based on Box-Cox transformation
Introduction
The SemiGARCH model with Box-Cox transformation
The semiparametric estimation procedure
Estimation of s(t)
Semiparametric estimation of a given model
The bandwidth estimation algorithm
The power transformation parameter estimation algorithm
A simple stationary test
Applications
The estimation of
The selection of the parametric models
Final remarks
VaR and ES under general Semiparametric GARCH models
Introduction
VaR and ES with semiparametric processes
VaR and ES
The semiparametric models
The Backtesting of VaR and ES
The backtesting of VAR
The backtesting of ES
The loss function
The empirical study
Final remarks
Modeling high-frequency returns using general SemiGARCH models
Introduction
The semiparametric volatility model
The SemiGARCH model
The extensions of SemiGARCH model
The empirical study
The empirical result of Allianz
The empirical result of BMW
Final remarks
Semiparametric MEM with Power Transformation
Introduction
The model
The SemiMEM model
The Box-Cox SemiMEM model
The model estimation and properties
Estimation of m(t)
Properties of (t)
The data-driven algorithms
The bandwidth selection
The cf estimation
The confidence interval simulation of
The empirical examples
Final remarks
Further topics
Introduction
The sampling schemes
The CTS, TTS and BTS
The k-method
The SemiMEM models to the high-frequency data
The empirical analysis
The data
The analysis of the intraday trading volume
The analysis of the intraday trading duration
The analysis of the intraday realized volatility
Final remarks
Concluding remarks
References
Appendices
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