Statistics of Multivariate Extremes with Applications in Risk Management
von Dr. Rodrigo Herrera
Statistik und Sichtungsnachweis dieser Seite findet sich am Artikelende
| [1.] Rh/Fragment 085 12 - Diskussion Zuletzt bearbeitet: 2012-07-30 23:18:21 Hindemith | Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung, Zivot 2005 |
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| Untersuchte Arbeit: Seite: 85, Zeilen: 12-15 |
Quelle: Zivot_2005 Seite(n): 1, Zeilen: 13-16 |
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| Popular parametric models for volatility include the ARCH-GARCH family (Engle (1982b)) and the stochastic volatility (SV) family (Clark (1973)). In these models volatility is usually extracted from daily squared returns, which are unbiased but noisy estimates of daily conditional volatility. | Popular parametric models for latent volatility include the ARCH-GARCH family, the stochastic volatility family, and the Markov-switching family. In these models volatility is usually extracted from daily squared returns, which are unbiased but noisy estimates of daily conditional volatility. |
Kein Quellenverweis vorhanden. Die eingebrachten Zitate scheinen auf Beispielliteratur zu verweisen, in denen diese Modelle angewendet wurden. Der zweite Satz wird noch einmal verwendet: Rh/Fragment 004 09 |
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| [2.] Rh/Fragment 085 16 - Diskussion Zuletzt bearbeitet: 2012-07-31 15:58:36 WiseWoman | Fragment, Galbraith Zernov 2006, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung |
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| Untersuchte Arbeit: Seite: 85, Zeilen: 16-17 |
Quelle: Galbraith Zernov 2006 Seite(n): 1, Zeilen: Abstract, Zeile 16-18 |
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| More generally, the study of extreme dependence may reveal contrasts which are obscured when we only concentrate on examining the conditional second moment. | More generally, the study of extreme dependence may reveal contrasts which are obscured when examining the conditional second moment. |
Zur Plagiatseinordnung siehe Diskussion |
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| [3.] Rh/Fragment 085 17 - Diskussion Zuletzt bearbeitet: 2012-08-22 17:51:47 Hindemith | Fragment, Gesichtet, Jalal Rockinger 2004, Rh, SMWFragment, Schutzlevel sysop, Verschleierung |
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| Untersuchte Arbeit: Seite: 85, Zeilen: 17-21 |
Quelle: Jalal Rockinger 2004 Seite(n): 1, Zeilen: 7-11 |
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| For instance, Jalal and Rockinger (2004) investigated the consequences for value at risk and expected short fall [sic] purposes of using a GARCH filter on various misspecified processes. They show that careful investigation of the adequacy of the GARCH filter is necessary since under misspecifications a GARCH filter appears to do more harm than good. | We investigate the consequences for value-at-risk and expected shortfall purposes of using a GARCH filter on various mis-specified processes. We show that careful investigation of the adequacy of the GARCH filter is necessary since under mis-specifications a GARCH filter appears to do more harm than good. |
Die Beschreibung der Arbeit von Jalal und Rockinger (2004) wird direkt aus dem Abstract der Publication übernommen, ohne dass dies kenntlich gemacht wäre. |
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| [4.] Rh/Fragment 085 21 - Diskussion Zuletzt bearbeitet: 2012-08-11 14:41:55 Hindemith | BauernOpfer, Fragment, Gesichtet, Poon et al. 2003, Rh, SMWFragment, Schutzlevel sysop |
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| Untersuchte Arbeit: Seite: 85, Zeilen: 21-24 |
Quelle: Poon et al. 2003 Seite(n): 929, Zeilen: 14-16 |
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| Poon et al. (2003) using a range of volatility filters find that tail index and tail dependence can be partially captured by models for heteroscedasticity. Moreover, they find that there is no clear reason to prefer one volatility filter over another. | Using a range of volatility filters, we find that tail index and tail dependence can be partially captured by models for heteroskedasticity. We find there is no clear reason to prefer one volatility filter over another. |
keine Kennzeichnung des übernommenen Wortlauts: wie auch an anderen Stellen zu beobachten wurde die Selbstbeschreibung anderer Autoren identisch übernommen. |
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| [5.] Rh/Fragment 085 24 - Diskussion Zuletzt bearbeitet: 2012-08-11 15:40:29 Hindemith | BauernOpfer, Fragment, Gesichtet, Poon et al. 2003, Rh, SMWFragment, Schutzlevel sysop |
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| Untersuchte Arbeit: Seite: 85, Zeilen: 24-26 |
Quelle: Poon et al. 2003 Seite(n): 942-943, Zeilen: S.942,12-13 - S.943,1 |
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| Also they note that tail index estimates are significantly reduced when returns are filtered for heteroskedasticity and that the reduction is the most dramatic when the SV model is used. | [Seite 942]
From Table 3 we note that tail index estimates are significantly reduced when stock returns are filtered for heteroskedasticity, and the reduction is the [Seite 943] most dramatic when the SV filter is used. |
keine Kennzeichnung der Übernahme, keine adäquate Quellenangabe. Man beachte auch die vorrausgehende Übernahme aus derselben Quelle: Rh/Fragment 085 21. Dort ist die Quelle genannt, jedoch ohne klarzustellen dass aus ihr wörtlich übernommen wird. |
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| [6.] Rh/Fragment 085 27 - Diskussion Zuletzt bearbeitet: 2012-08-11 14:30:26 Hindemith | BauernOpfer, Davis und Mikosch 2006, Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop |
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| Untersuchte Arbeit: Seite: 85, Zeilen: 27-32 |
Quelle: Davis und Mikosch 2006 Seite(n): 1, 8, Zeilen: 1: 23-27; 8: 28-29 |
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| In addition to this Davis and Mikosch (2006b) showed that unlike the situation for GARCH processes (Davis and Mikosch (2006a)), there is no extremal clustering for SV processes in both the light- and heavy-tailed cases. That is, large values of the processes do not come in clusters. More precisely, the large sample behaviour of maxima is the same as that of the maxima of the associated iid sequence. So while both stochastic volatility and GARCH processes exhibit volatility clustering, only the GARCH has clustering of extremes. | Interestingly, and unlike the situation for GARCH processes (see Davis and Mikosch [5]), there is no extremal clustering for stochastic volatility processes in both the light- and heavy-tailed cases. That is, large values of the processes do not come in clusters. More precisely, the large sample behavior of Mn is the same as that of the maxima of the associated iid sequence [...]
[Seite 8: 28-29] So while both stochastic volatility and GARCH processes exhibit volatility clustering, only the GARCH has clustering of extremes. |
Nichts wurde als Übernahme gekennzeichnet; dass dieser Abschnitt selbst wörtlich aus "Davis and Mikosch (2006b)" stammt, wird überhaupt nicht ersichtlich. Der Verweis auf Davis and Mikosch (2006a) stammt auch aus der Quelle. |
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| [7.] Rh/Fragment 085 33 - Diskussion Zuletzt bearbeitet: 2012-07-31 15:55:24 WiseWoman | Fragment, Galbraith Zernov 2006, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung |
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| Untersuchte Arbeit: Seite: 85, Zeilen: 33-36 |
Quelle: Galbraith Zernov 2006 Seite(n): 1, Zeilen: 3-10 |
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| While these models imply some information about extreme events still little is known about the extremes per se. For this reason, it is an advantage to have techniques that are focused purely on extreme movements, and are not influenced by the degree of temporal dependence in more routine circumstances. The resulting information about the degree to [which extreme losses are more likely following earlier extreme losses is particularly valuable in the measurement of risk over fixed time intervals.] | While this knowledge implies some information about extreme events in these markets [...] relatively little is known about the extremes per se of these asset return distributions. In learning about dependence in extreme circumstances, it is an advantage to have techniques that are focused purely on extreme movements, and are not influenced by the degree of temporal dependence in more routine circumstances. The resulting information about the degree to which extreme losses are more likely following earlier extreme losses is particularly valuable in the measurement of risk over fixed time intervals. |
There is no source given. |
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Letzte Bearbeitung dieser Seite: durch Benutzer:Hindemith, Zeitstempel: 20120811144314