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Garch Like Models Dynamic Crash by Koether Paul (7 results)
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Condition: very good. Gut/Very good: Buch bzw. Schutzumschlag mit wenigen Gebrauchsspuren an Einband, Schutzumschlag oder Seiten. / Describes a book or dust jacket that does show some signs of wear on either the binding, dust jacket or pages.
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GARCH-like Models with Dynamic Crash Probabilities: A Parametric Approach for Modelling Extreme Events
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
£ 55.39
Convert currency£ 11.98 shipping from United Kingdom to U.S.A.Quantity: Over 20 available
Add to basketCondition: New. In.
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GARCH-like Models with Dynamic Crash Probabilities
Published by VDM Verlag Dr. Mueller e.K. 2008-05-05, 2008
ISBN 10: 3639014405 ISBN 13: 9783639014402
Language: English
£ 52.07
Convert currency£ 15.49 shipping from United Kingdom to U.S.A.Quantity: 10 available
Add to basketPaperback. Condition: New.
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GARCH-like Models with Dynamic Crash Probabilities : A Parametric Approach for Modelling Extreme Events
Published by VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K., 2008
ISBN 10: 3639014405 ISBN 13: 9783639014402
Language: English
£ 77.91
Convert currency£ 24.86 shipping from Germany to U.S.A.Quantity: 2 available
Add to basketTaschenbuch. Condition: Neu. Neuware - We work in the setting of time series of financial returns.Our starting point are the GARCH models, which are very common in practice.We introduce the possibility of having crashes in such GARCH models.A crash will be modeled by drawing innovations from a distribution with much mass on extremely negative events, while in normal times the innovations will be drawn from a normal distribution.The probability of a crash is modeled to be time dependent, depending on the past of the observed time series and/or exogenous variables. The aim is a splitting of risk into normal risk coming mainly from the GARCH dynamic and extreme event risk coming from the modeled crashes.For the ARCH case we formulate (quasi) maximum likelihood estimators and can derive conditions for consistency and asymptotic normality of the parameter estimates.On the practical side we look for the outcome of estimating models with genuine GARCH dynamic and compare the result toclassical GARCH models. We apply the models to Value at Risk estimation and see that in comparison to the classical modelsmany of ours seem to work better although we chose the crash distributions quite heuristically.
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GARCH-like Models with Dynamic Crash Probabilities
Published by VDM Verlag Dr. Müller|VDM Verlag Dr. Müller e.K., 2008
ISBN 10: 3639014405 ISBN 13: 9783639014402
Language: English
£ 64.71
Convert currency£ 41.44 shipping from Germany to U.S.A.Quantity: Over 20 available
Add to basketKartoniert / Broschiert. Condition: New. We work in the setting of time series of financial returns.Our starting point are the GARCH models, which are very common in practice.We introduce the possibility of having crashes in such GARCH models.A crash will be modeled by drawing innovations from a d.
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£ 113
Convert currency£ 25 shipping from United Kingdom to U.S.A.Quantity: 1 available
Add to basketPaperback. Condition: Like New. Like New. book.
