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Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models
Bekiros, S. / Georgoutsos, D.
equity markets / extreme value theoryResource overview

Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models

Paper2006

by Bekiros, S., Georgoutsos, D.

Tags
equity marketsextreme value theorygarchtail risk

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Suggested foundations for volatility models and surfaces and asset pricing and factor research. Specialist prerequisites vary by paper.

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  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  4. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

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  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Factor construction

    Connect factor definitions to portfolio construction.

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