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The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

The paper evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for beta-mixing processes and EDF-based tests for the residuals of such nonlinear dependent...

Persistent link: https://www.econbiz.de/10005100727

Information Content of Volatility Forecasts at Medium-term Horizons

Galbraith, John; Kisinbay, Turgut - Centre Interuniversitaire de Recherche en Analyse des … - 2002

volatility from standard QML-estimated GARCH models, and from projections on past realized volatilities obtained from high … and Wright (2001), that projections on past realized volatility provide better 1-step forecasts than the QML-GARCH … modèles GARCH-QVM standard et à partir de projections directes sur les volatilités réalisées. Nous considérons un horizon …

Persistent link: https://www.econbiz.de/10005101091

Estimation Risk in Financial Risk Management

Christoffersen, Peter; Gonçalves, Sílvia - Centre Interuniversitaire de Recherche en Analyse des … - 2004

Value-at-Risk (VaR) and Expected Shortfall (ES) are increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR and ES techniques. The purpose of this paper is...

Persistent link: https://www.econbiz.de/10005101108

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10008855592

Exchange rates and commodity prices: measuring causality at multiple horizons

Zhang, Hui Jun; Dufour, Jean-Marie; Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2013

Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for...

Persistent link: https://www.econbiz.de/10011183664

Nonlinear Features of Realized FX Volatility

Maheu, John M.; McCurdy, Thomas H. - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper investigates nonlinear features of FX volatility dynamics using estimates of daily volatility based on the sum of intraday squared returns. Measurement errors associated with using realized volatility to measure ex post latent volatility imply that standard time series models of the...

Persistent link: https://www.econbiz.de/10005100557

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2000

We propose different extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed by Foster and Nelson (1996). First, despite the difference in information sets we are able to compare the asymptotic distribution of volatility estimators involving data...

Persistent link: https://www.econbiz.de/10005100672

Analytic Evaluation of Volatility Forecasts

Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

popular continuous-time models as GARCH, multi-factor affine, and log-normal diffusions, we find that the realized volatility … en temps continu usuels comme les modèles de diffusion GARCH, affine à plusieurs facteurs, et log-normal, nous trouvons …

Persistent link: https://www.econbiz.de/10005100878

Detecting Mutiple Breaks in Financial Market Volatility Dynamics

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

We apply several recently proposed tests for structural breaks in conditional variance and covariance dynamics. The tests apply to both the class of ARCH and SV type processes and allow for long memory features. We also apply them to data-driven volatility estimators using high-frequency data...

Persistent link: https://www.econbiz.de/10005100985

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities

Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results in Barndorff-Nielsen and Shephard...

Persistent link: https://www.econbiz.de/10005100986