Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches

DOI10.1016/J.AMC.2006.01.080MaRDI QIDQ858848zbMATH OpenOpenAlexFDO

Authors Michael C. I. Nwogugu

Publication date 11 January 2007

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2006.01.080

zbMATH Keywords

complexitypsychologyrisk and uncertaintynon-linear analysisGARCH/ARMAStochastic-Volatility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A synthesis of risk measures for capital adequacy
• Alternative models for stock price dynamics.
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Do asset market prices reflect traders' judgment biases?
• Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
• Expected shortfall and beyond
• From Brownian motion to operational risk: statistical physics and financial markets
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• If Nonlinear Models Cannot Forecast, What Use Are They?
• MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES
• Modelling financial time series using multifractal random walks
• On the forecasting ability of ARFIMA models when infrequent breaks occur
• Prospect Theory: An Analysis of Decision under Risk
• Rethinking Rigor in Calculus: The Role of the Mean Value Theorem
• Risk and utility in portfolio optimization
• The Econometrics of Ultra-high-frequency Data
• The use of GARCH models in VaR estimation
• Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
• Understanding the cubic and half-cubic laws of financial fluctuations

Cited in

(2)

• On the performance of West's bubble test: a simulation approach
• Sub-additive recursive ``matching noise and biases in risk-weighted index calculation methods in incomplete markets with partially observable multi-attribute preferences

Describes a project that uses

Uses Software

• CAViaR

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