Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models
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- Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 149-171.
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Cited by:- Xekalaki, Evdokia & Degiannakis, Stavros, 2005.
"Evaluating volatility forecasts in option pricing in the context of a simulated options market,"
Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
- Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper 80468, University Library of Munich, Germany.
- Stavros Degiannakis & Pamela Dent & Christos Floros, 2014.
"A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification,"
Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
- Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper 80431, University Library of Munich, Germany.
- Stavros Degiannakis & Evdokia Xekalaki, 2007.
"Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 31-37.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes," MPRA Paper 96326, University Library of Munich, Germany.
- Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008.
"Rolling-sampled parameters of ARCH and Levy-stable models,"
Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.
- Degiannakis, Stavros & Livada, Alexandra & Panas, Epaminondas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," MPRA Paper 80464, University Library of Munich, Germany.
- Degiannakis, Stavros, 2008. "Forecasting Vix," MPRA Paper 96307, University Library of Munich, Germany.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: intra-day vs. inter-day models," MPRA Paper 80434, University Library of Munich, Germany.
- Stavros Degiannakis & Evdokia Xekalaki, 2008.
"SPEC model selection algorithm for ARCH models: an options pricing evaluation framework,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 419-423.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2008. "SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework," MPRA Paper 96321, University Library of Munich, Germany.
- Durán Santomil, Pablo & Otero González, Luís & Martorell Cunill, Onofre & Merigó Lindahl, José M., 2018. "Backtesting an equity risk model under Solvency II," Journal of Business Research, Elsevier, vol. 89(C), pages 216-222.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008.
"Volatility forecasting: Intra-day versus inter-day models,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 449-465, December.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: Intra-day versus inter-day models," MPRA Paper 96322, University Library of Munich, Germany.
- Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
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- GIOT, Pierre & LAURENT, Sébastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," LIDAM Reprints CORE 1708, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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More about this item
Keywords
ARCH Models; Correlated Gamma Ratio Distribution; Model Selection; Predictability; SPEC Algorithm; Volatility Forecasting;
All these keywords.JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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- Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.