Narrow search
Showing 1 - 5 of 5
Cover Image
Exponential GARCH Modeling with Realized Measures of Volatility
Hansen, Peter Reinhard; Huang, Zhuo - School of Economics and Management, University of Aarhus - 2012
We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the … characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to DJIA stocks and an …
Persistent link: https://www.econbiz.de/10010851191
Cover Image
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; … - School of Economics and Management, University of Aarhus - 2015
We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov …
Persistent link: https://www.econbiz.de/10011268024
Cover Image
A Martingale Decomposition of Discrete Markov Chains
Hansen, Peter Reinhard - School of Economics and Management, University of Aarhus - 2015
We consider a multivariate time series whose increments are given from a homogeneous Markov chain. We show that the martingale component of this process can be extracted by a filtering method and establish the corresponding martingale decomposition in closed-form. This representation is useful...
Persistent link: https://www.econbiz.de/10011268025
Cover Image
Quadratic Variation by Markov Chains
Hansen, Peter Reinhard; Horel, Guillaume - School of Economics and Management, University of Aarhus - 2009
We introduce a novel estimator of the quadratic variation that is based on the theory of Markov chains. The estimator is motivated by some general results concerning filtering contaminated semimartingales. Specifically, we show that filtering can in principle remove the effects of market...
Persistent link: https://www.econbiz.de/10004990847
Cover Image
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
Hansen, Peter Reinhard; Zhuo (Albert) Huang; Shek, … - School of Economics and Management, University of Aarhus
realized measure of volatility in these models. In this paper we introduce a new framework for the joint modeling of returns … and realized measures of volatility. The Realized GARCH framework nests most GARCH models as special cases and is, in many … GARCH framework; it implies an ARMA structure for the conditional variance and realized measures of volatility; and models …
Persistent link: https://www.econbiz.de/10008836606