Zobrazeno 1 - 10
of 27
pro vyhledávání: '"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/
http://qed.econ.queensu.ca:80/jae/1996-v11.5/
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
https://doi.org/10.1016/b978-0-12-374448-7.00003-8
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
https://doi.org/10.1016/b978-0-12-374448-7.00004-x
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
https://doi.org/10.1016/b978-0-12-374448-7.00007-5
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
https://doi.org/10.1016/b978-0-12-374448-7.00012-9
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
https://doi.org/10.1016/b978-0-12-374448-7.00009-9
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
https://doi.org/10.1016/b978-0-12-374448-7.00005-1
Autor:
Peter F. Christoffersen
This chapter introduces the most commonly used method for computing value-at-risk (VaR), historical simulation, and discusses the pros and cons of this method. Historical simulation (HS) is widely used in practice because of two reasons: the ease wit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2ad9f12dfcffaf264c2e3400107b5dcb
https://doi.org/10.1016/b978-0-12-374448-7.00002-6
https://doi.org/10.1016/b978-0-12-374448-7.00002-6
Autor:
Peter F. Christoffersen
Publisher Summary The key challenge one faces when wanting to find a fair value of an option is that it depends on the distribution of the future price of the underlying risky asset. The simplest possible assumption about this distribution is binomia
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a0b8e9ac3895ff109a9310c3e8a5077
https://doi.org/10.1016/b978-0-12-374448-7.00010-5
https://doi.org/10.1016/b978-0-12-374448-7.00010-5
Autor:
Peter F. Christoffersen
Publisher Summary This chapter considers the ex ante risk measure forecasts from the model and compares them with the ex post realized portfolio return. The risk measure forecast takes the form of a Value-at-Risk (VaR), an Expected Shortfall (ES), th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a434f66110c3245a2bc075e2753dc92a
https://doi.org/10.1016/b978-0-12-374448-7.00013-0
https://doi.org/10.1016/b978-0-12-374448-7.00013-0