Showing 1 - 9 of 9
Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates are also approximately free of measurement error under...
Persistent link: https://www.econbiz.de/10012471846
A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in...
Persistent link: https://www.econbiz.de/10012466896
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...
Persistent link: https://www.econbiz.de/10012467497
We consider three sets of phenomena that feature prominently and separately in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs, and dependence (and hence forecastability) in asset...
Persistent link: https://www.econbiz.de/10012468689
Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...
Persistent link: https://www.econbiz.de/10012469613
and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …
Persistent link: https://www.econbiz.de/10012470566
We exploit direct model-free measures of daily equity return volatility and correlation obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average over a five-year period to confirm, solidify and extend existing characterizations of stock...
Persistent link: https://www.econbiz.de/10012470803
It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however, varies with horizon, and different horizons are relevant...
Persistent link: https://www.econbiz.de/10012471968
Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility modeling that are of particular relevance in...
Persistent link: https://www.econbiz.de/10012473891