Advances in Risk Management

336 Table 17.2 Returns, volatilities and correlations Panel A: returns, volatilities and correlations of French indices series Y ...

HELENA CHULIÁ AND HIPÒLIT TORRÓ 337 Table 17.2Continued Panel C: returns, volatilities and correlations of British indices serie ...

338 Table 17.3 Conditional CAPM ADC-in-mean model estimates and restric- tions tests Estimates of the conditional CAPM ADC-in-me ...

HELENA CHULIÁ AND HIPÒLIT TORRÓ 339 Table 17.3Continued Estimates of the conditional CAPM ADC-in-mean model in the British marke ...

340 Table 17.4 Summary statistics for the standardized residuals Panel A: summary statistics for the standardized residuals of F ...

341 1991 0 5 10 15 20 25 30 35 40 Variance 1992199319941995199619971998199920002001200220032004 1991 0 5 10 15 20 25 30 Variance ...

342 LARGE AND SMALL CAP STOCKS IN EUROPE Table 17.5 Unconditional moment estimates of all markets Unconditional moment estimates ...

343
5
5 550 5 0 10 20 30 ADC (^00)
5
5 (^05) 5 10 ADC 0
5
5 (^50)
5 0 5 10 ADC (^0)
5
0.5
5 (^50) 0 0.5 ADC 0 ...

344 LARGE AND SMALL CAP STOCKS IN EUROPE the CAC40 come together. In addition, the covariance surface is quite flat, increasing ...

HELENA CHULIÁ AND HIPÒLIT TORRÓ 345 otherwise. Using these misspecification indicators, the robust conditional moment test of Wo ...

346 Table 17.6 Continued Panel (B): applied on the residuals of the model estimates υ12,t=ε1,tε2,t−σ12,tυ1,t=ε^2 1,t−σ^2 1,tυ2,t ...

347 Table 17.6Continued ε^2 1,t− 1 I(ε2,t− 1 <0) 0.68327 0.02167 0.30698 0.83677 ε^2 2,t− 1 I(ε1,t− 1 <0) 1.28405 0.01642 ...

348 LARGE AND SMALL CAP STOCKS IN EUROPE look at the combined effect of typical shocks occurring simultaneously on large cap and ...

349 Table 17.7 Sensitivity of volatility, covariance and risk premium to unitary shocks (1%) Panel A: sensitivity of volatility, ...

350 Table 17.7 Continued Panel C: sensitivity of volatility, covariance and risk premium of the British indices to unitary shock ...

HELENA CHULIÁ AND HIPÒLIT TORRÓ 351 accommodatesboththesignandthemagnitudeofreturninnovations. More- over, the volatility feedba ...

352 LARGE AND SMALL CAP STOCKS IN EUROPE Campbell, J.Y. and Henstschel, L. (1992) “No News Is Good News: AnAsymmetric Model of C ...

CHAPTER 18 On Model Selection and its Impact on the Hedging of Financial Derivatives Giuseppe Di Graziano and Stefano Galluccio ...

354 MODEL SELECTION AND HEDGING OF FINANCIAL DERIVATIVES Deterministic orlocal volatility(LV) models assume that the asset follo ...

GIUSEPPE DI GRAZIANO AND STEFANO GALLUCCIO 355 “information” to uniquely identify the model and its associated risk-neutral pric ...