Výsledky vyhledávání - "Peter A Christoffersen"

Further Results on Forecasting and Model Selection under Asymmetric Loss

Autor: Francis X. Diebold, Peter F. Christoffersen

Publikováno v: Journal of Applied Econometrics. 11(5):561-71

We make three related contributions. First, we propose a new technique for solving prediction problems under asymmetric loss using piecewise-linear approximations to the loss function, and we establish existence and uniqueness of the optimal predicto

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0a86ef6e784cd2ede884811006658f3e
http://qed.econ.queensu.ca:80/jae/1996-v11.5/

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A Primer on Financial Time Series Analysis

Autor: Peter F. Christoffersen

This chapter serves two purposes: First, it gives a very brief refresher on the basic concepts in probability and statistics, and introduces the bivariate linear regression model. Second, it gives an introduction to time series analysis with a focus

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::6ef02b25890899c565d9d2a174ff1802
https://doi.org/10.1016/b978-0-12-374448-7.00003-8

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Volatility Modeling Using Daily Data

Autor: Peter F. Christoffersen

This chapter establishes the framework for modeling the dynamic distribution of portfolio returns and discusses the GARCH variance model; the downside of these models is that they require nonlinear parameter estimation. The GARCH and RiskMetrics mode

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4bb3b239fdc3eed7395aed91b98b9aa0
https://doi.org/10.1016/b978-0-12-374448-7.00004-x

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Covariance and Correlation Models

Autor: Peter F. Christoffersen

The objective of this chapter is to model the linear dependence, or correlation, between returns on different assets. Correlation models will enable us to calculate risk measures on portfolios of securities such as stocks, bonds, and foreign exchange

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e2648477b777367579d16d242da326a6
https://doi.org/10.1016/b978-0-12-374448-7.00007-5

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Credit Risk Management

Autor: Peter F. Christoffersen

This chapter provides some important stylized facts on corporate default and recovery rates and develops a theoretical framework for understanding default based on Merton's seminal model. Merton's model studies one firm in isolation but it can be gen

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e320a549a0e0da191e82f006d1da5f07
https://doi.org/10.1016/b978-0-12-374448-7.00012-9

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Distributions and Copulas for Integrated Risk Management

Autor: Peter F. Christoffersen

Multivariate risk models require assumptions about the multivariate distribution of return shocks. The multivariate normal distribution is the most convenient model but it does not allow for enough extreme dependence in most risk management applicati

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::041d6ed4c7a36ea1e38010e4252c022d
https://doi.org/10.1016/b978-0-12-374448-7.00009-9

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Volatility Modeling Using Intraday Data

Autor: Peter F. Christoffersen

This chapter explores the use of intraday prices for computing daily volatility and for forecasting future volatility. We first introduce the concept of realized variance (RV) and look at four stylized facts of RV. We then look at different ways to f

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::3379dd6ddad217b50a7879ef9825fec5
https://doi.org/10.1016/b978-0-12-374448-7.00005-1

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