𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The impact of stationarity assessment on studies of volatility and value-at-risk

✍ Scribed by J. Leśkow

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
773 KB
Volume
34
Category
Article
ISSN
0895-7177

No coin nor oath required. For personal study only.

✦ Synopsis

Recent research on volatility of asset returns demonstrates

that model innovations frequently show unconditional heteroscedasticity.

On the other hand, ARMA-GARCH models incorporate the heteroscedasticity only in the conditional distribution of the innovations, assuming the unconditional distributions to be stationary (see, e.g., [1,2]). G' lven the observed unconditional heteroscedasticity of the return innovations 131, there is a need to overcome this shortcoming of existing models.

The purpose of this paper is to introduce a test of stationarity of the innovations and show its impact in the analysis of volatility and value at risk. The methodological results are accompanied with examples and simulations.

📜 SIMILAR VOLUMES

The impact of volatility derivatives on
The impact of volatility derivatives on S&P500 volatility
✍ Paul Dawson; Sotiris K. Staikouras 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 274 KB

## Abstract This study investigates whether the newly cultivated platform of volatility derivatives has altered the volatility of the underlying S&P500 index. The findings suggest that the onset of the volatility derivatives trading has lowered the volatility of both the cash market volatility and

Application of the Beck model to stock m
Application of the Beck model to stock markets: Value-at-Risk and portfolio risk assessment
✍ M. Kozaki; A.-H. Sato 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 879 KB

We apply the Beck model, developed for turbulent systems that exhibit scaling properties, to stock markets. Our study reveals that the Beck model elucidates the properties of stock market returns and is applicable to practical use such as the Value-at-Risk estimation and the portfolio analysis. We p

The Impact of Tax Services on Auditors’
The Impact of Tax Services on Auditors’ Fraud-Risk Assessment
✍ Michael Favere-Marchesi 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 146 KB

This study examined whether providing tax services to an audit client affects auditors' fraud-risk assessment. A case was administered to audit partners and senior managers of small-and medium-sized firms that provide both audit and tax services. Participants were asked to assess the risk of fraudul

Transcending limitations of stationarity
Transcending limitations of stationarity and the return period: process-based approach to flood estimation and risk assessment
✍ Murugesu Sivapalan; Jos M. Samuel 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 131 KB

Traditional flood frequency analysis and estimation are underpinned by the critical assumption of stationarity (I.E. Aust., Institution of Engineers Australia, 1987; FEH, 1999). The widely used notion of "return period" is a classical concept arising from assumed invariance of the probability distri