nep-rmg New Economics Papers
on Risk Management
Issue of 2006‒07‒15
five papers chosen by
Stan Miles
York University
  1. Mathematical methods of market risk valuation in application to Russian stock market By Andrey M. Boyarshinov
  2. Comparing Value-at-Risk Methodologies By Luiz Renato Lima; ; Breno Pinheiro Néri
  3. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models By Francois-Éric Racicot; Raymond Théoret; Alain Coen
  4. The predictive power of the present value model of stock prices By Geraldine Ryan
  5. Asset Prices and asset Correlations in Illiquid Markets By Celso Brunetti
  1. By: Andrey M. Boyarshinov (Computational Mathematics and Mechanics Perm State Technical University)
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:127&r=rmg
  2. By: Luiz Renato Lima (Graduate School of Economics Getúlio Vargas Foundation); ; Breno Pinheiro Néri
    Keywords: ARCH Quantile Value-at-Risk
    JEL: C52 C53
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:1&r=rmg
  3. By: Francois-Éric Racicot (Département des sciences administratives, Université du Québec (Outaouais) et LRSP); Raymond Théoret (Département de stratégie des affaires, Université du Québec (Montréal)); Alain Coen (Département de stratégie des affaires, Université du Québec (Montréal))
    Abstract: A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced data. We also compare the out sample performances of ACD GARCH models with the realized volatility method. We propose a procedure to take into account the time deformation and show how to use these models for computing daily VaR.
    Keywords: Realized volatility, Ultra High Frequency GARCH, time deformation, financial markets, Daily VaR.
    JEL: C22 C53 G14
    Date: 2006–07–06
    URL: http://d.repec.org/n?u=RePEc:pqs:wpaper:152006&r=rmg
  4. By: Geraldine Ryan (Economics University College Cork)
    Keywords: Present Value Model of Stock Prices; Nonlinear Unit Root Tests; Nonlinear Cointegration Tests; ESTAR- EGARCH model; Long Horizon Predictability Tests.
    JEL: G12 G14 C53
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:102&r=rmg
  5. By: Celso Brunetti (Finance Johns Hopkins University)
    Keywords: Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM
    JEL: G12
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:331&r=rmg
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