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Displaying results 1 to 11 of 11.

  1. Financial market volatility and inflation uncertainty
    an empirical investigation
    Author: Döpke, Jörg; Pierdzioch, Christian
    Published: 1999
    Publisher:  Inst. of World Economics, Kiel

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QD 000
    DDC Categories: 330; 380; 650; 670
    Series: Kiel working papers ; No. 913
    Subjects: Inflation; Risiko; Kapitalmarkt; Volatilität; Schätzung; :z Geschichte 1968-1998
    Other subjects: (stw)1968-1998; (stw)Inflation; (stw)Risiko; (stw)Finanzmarkt; (stw)Volatilität; (stw)Schätzung; (stw)Deutschland; jel:E31; jel:C32; Inflation uncertainty; financial market volatility; GARCH models; Grangers-causality; Inflation (STW); Risiko (STW); Finanzmarkt (STW); Volatilität (STW); Schätzung (STW); Deutschland (STW); Arbeitspapier; Graue Literatur; Buch
    Scope: 14 S., graph. Darst., 21 cm
    Notes:

    Literaturverz. S. 13 - 14
  2. Financial market volatility and inflation uncertainty
    An empirical investigation
    Author: Döpke, Jörg; Pierdzioch, Christian
    Published: 2011
    Publisher:  ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft, Kiel

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  3. Value-at-risk: the comparison of state-of-the-art models on varous assets
    Author: Kielak, Karol; Ślepaczuk, Robert
    Published: 2020
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 427
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Faculty of Economic Sciences, University of Warsaw ; no. 2020, 28 = 334
    Subjects: risk management; Value-at-Risk; GARCH models; returns distribution; Monte Carlo Simulation; asset class; cryptocurrencies
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  4. Semiparametric GARCH models with long memory applied to value at risk and expected shortfall
    Author: Letmathe, Sebastian; Feng, Yuanhua; Uhde, André
    Published: April 2021
    Publisher:  Universität Paderborn, Center for International Economics, [Paderborn]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 471
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Center for International Economics working paper series ; no. 2021, 03
    Subjects: Semiparametric; long memory; GARCH models; forecasting; Value at Risk; Expected Shortfall; traffic light test; Basel Committee on Banking Supervision
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  5. Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
    Author: Lis, Szymon; Chlebus, Marcin
    Published: 2021
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Nicht speichern
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 11 = 359
    Subjects: Combining forecasts; Econometric models; Finance; Financial markets; GARCH models; Neural networks; Regression; Time series; Risk; Value-at-Risk; Machine learning; Model Confidence Set
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  6. Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
    Author: Escobar, Marcos; Rastegari, Javad; Stentoft, Lars
    Published: mai 2023
    Publisher:  [Canadian Derivatives Institute], [Montréal]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 30
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de recherche / Institut Canadien des Dérivés ; DR 23, 02
    Subjects: Pricing; multi-asset options; GARCH models; Closed form solutions; Covariance dependent kernel; maximum likelihood estimation
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  7. Asset price volatility in EU-6 economies
    how large is the role played by the ECB?
    Author: Ciarlone, Alessio; Colabella, Andrea
    Published: [2018]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 450 (1175)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1175 (June 2018)
    Subjects: unconventional monetary policy; ECB; Central and Eastern Europe; international spillovers; asset prices; volatility; GARCH models
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  8. GARCH option pricing models with Meixner innovations
    Author: Fengler, Matthias; Melnikov, Alexander
    Published: Feb 2017
    Publisher:  School of Economics and Political Science, Department of Economics, University of St.Gallen, St. Gallen

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / University of St.Gallen, School of Economics and Political Science, Department of Economics ; no. 2017, 02 (February 2017)
    Subjects: GARCH models; Meixner distribution; Esscher transform; option pricing
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  9. The snp-dcc model: a new methodology for risk management and forecasting
    Author: Brio, Esther B. del; Ñíguez, Trino-Manuel; Perote, Javier
    Published: 2010
    Publisher:  Fundación de las Cajas de Ahorros, Madrid

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documento de trabajo / Fundación de las Cajas de Ahorros ; 532
    Subjects: Density forecasts; Financial markets; GARCH models; Multivariate timeseries; Semi-nonparametric methods
    Scope: Online-Ressource (60 S.), graph. Darst.
  10. Announcements of ECB unconventional programs
    implications for the sovereign risk of Italy
    Author: Falagiarda, Matteo; Reitz, Stefan
    Published: 2013
    Publisher:  Kiel Inst. for the World Economy, Kiel

    This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and... more

    Location:
    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signature:
    EWP 1
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 3 (1866)
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    This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB program. The empirical results are derived from both an event-study analysis and a GARCH framework, which uses Italian long-term bond futures to disentangle expected from unexpected policy actions. We find that the ECB announcements about unconventional monetary policies substantially reduced Italian long-term government bond yield spread relative to German counterparts. Particularly, among the different types of measures, news about the Securities Markets Programme and the Outright Monetary Transactions are found to be effective in affecting the perceived sovereign risk of Italy.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/80351
    Series: Kiel working paper ; 1866
    Subjects: central bank communications; unconventional monetary policy; European sovereign debt crisis; event-study; GARCH models
    Scope: Online-Ressource (32 S.), graph. Darst.
  11. Is the financial sector Luxembourg's engine of growth?
    Author: Guarda, Paolo; Rouabah, Abdelaziz
    Published: July 2015
    Publisher:  Banque centrale du Luxembourg, Luxembourg

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Banque centrale du Luxembourg ; no 97
    Subjects: Output growth; GARCH models; Dynamic conditional correlations
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen