Browsing by Author "Khemissi, Eliza"
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Item Forecasting the Volatility of Volatility with Parametric ModelsKhemissi, ElizaThe purpose of the research is the assessment of forecasts performance of the VVIX Index, in other words the volatility of volatility index. The survey concerns the periods including the subprime crisis and the debt crisis. The intention of the author is to get to know the forecasting properties of volatility of volatility and to compare its econometric characteristics with that of classical implied volatility in subprime crisis. The significance of volatility of volatility emerges from the possibility of predicting the falls of exchange quotations on a stock market on the basis of it.Item Problems of Monotonicity of Some Popular Risk Measures(2016) Khemissi, ElizaIn the article the author checked the properties of coherent measures of risk for Expected Value, Expected Shortfall, Maximum Loss (for losses weighted with probability), Median, Median Absolute Deviation, “Arithmetic Mean of Absolute Deviations from Median”, Quantiles, Cumulative Distribution Function and Mid-Range in connection with the last financial crisis. Methodology of the research – mathematical proving and theoretical analysis. Results. The survey shows that the above functions are not coherent measures of risk with some definition of stochastic order and in many cases not measures of risk in terms of the axiomatic definition. The paper shows also that the lemma used in the literature to prove monotonicity of Expected Shortfall is not truth and we will prove the lemma with the opposite relation. Value of the paper – Mathematical proofs in the field of risk measurement. Showing some problems with monotonicity of risk measures. Contradicting the lemma of monotonicity of Expected Shortfall. Own definition of first degree stochastic order.Item The Computer Program Scientific Article - The New Approach to Empirical Surveys(2016) Khemissi, ElizaIn this article the author presents the first concept of scirntific article in the form of computer program. She shows the example of such article - the program to research the relationship between the exchange rates and indexes.