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Daily exchange rate behaviour and hedging of currency risk
Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 1999
Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10008584714
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The Fine Structure of Equity-Index Option Dynamics
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; … - School of Economics and Management, University of Aarhus - 2013
We analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the movements of the volatility surface....
Persistent link: https://www.econbiz.de/10010851229
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Estimation of Jump Tails
Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2010
We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...
Persistent link: https://www.econbiz.de/10008565811
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Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2010
We provide a new framework for estimating the systematic and idiosyncratic jump tail risks in financial asset prices. The theory underlying our estimates are based on in-fill asymptotic arguments for directly identifying the systematic and idiosyncratic jumps, together with conventional...
Persistent link: https://www.econbiz.de/10008677227
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Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
Bach, Christian; Christensen, Bent Jesper - School of Economics and Management, University of Aarhus - 2011
We include simultaneously both realized volatility measures based on high-frequency asset returns and implied volatilities backed out of individual traded at the money option prices in a state space approach to the analysis of true underlying volatility. We model integrated volatility as a...
Persistent link: https://www.econbiz.de/10008835428
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A simple test for GARCH against a stochastic volatility
Franses, Ph.H.B.F.; Leij, M.J. van der; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2005
The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved … volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and … which can be used to test GARCH against SV. We discuss model representation, parameter estimation and a simple test for …
Persistent link: https://www.econbiz.de/10005696115
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How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models
Andreasen, Martin M. - School of Economics and Management, University of Aarhus - 2010
disasters, stochastic volatility, and GARCH affect any risk premia in a wide class of DSGE models. To quantify these effects, we … volatility, and GARCH. We ?find that rare disasters increase the mean level of the 10-year nominal term premium, whereas a key … effect of stochastic volatility and GARCH is an increase in the variability of this premium. …
Persistent link: https://www.econbiz.de/10008677228