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Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2001

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

Persistent link: https://www.econbiz.de/10012470566

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

Engle, Robert F. - 1993

In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns....

Persistent link: https://www.econbiz.de/10012474423

Options-Pricing Formula with Disaster Risk

Barro, Robert J. - 2016

A new options-pricing formula applies to far-out-of-the money put options on the overall stock market when disaster risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative agent with Epstein-Zin utility. In the applicable region,...

Persistent link: https://www.econbiz.de/10012456784

Evaluating Density Forecasts of Inflation : The Survey of Professional Forecasters

Diebold, Francis X. - 1997

Since 1968, the Survey of Professional Forecasters has asked respondents to provide a" complete probability distribution of expected future inflation. We evaluate the adequacy of" those density forecasts using the framework of Diebold, Gunther and Tay (1997). The analysis" reveals several...

Persistent link: https://www.econbiz.de/10012472583

Evaluating Density Forecasts

Diebold, Francis X. - 1997

We propose methods for evaluating density forecasts. We focus primarily on methods" that are applicable regardless of the particular user's loss function. We illustrate the methods" with a detailed simulation example, and then we present an application to density forecasting of" daily stock...

Persistent link: https://www.econbiz.de/10012472608

On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - National Bureau of Economic Research - 2022

We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even...

Persistent link: https://www.econbiz.de/10012814410

Forecasts in a Slightly Misspecified Finite Order VAR

Müller, Ulrich K. - 2011

We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...

Persistent link: https://www.econbiz.de/10012461943

The Distribution of Stock Return Volatility

Andersen, Torben G. - 2000

We exploit direct model-free measures of daily equity return volatility and correlation obtained from high …, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional … portfolio diversification when the market is most volatile. Our findings are broadly consistent with a latent volatility fact or …

Persistent link: https://www.econbiz.de/10012470803

Taming the Skew : Higher-Order Moments in Modeling Asset Price Processes in Finance

Das, Sanjiv Ranjan - 1997

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

Persistent link: https://www.econbiz.de/10012472845

Disentangling Volatility from Jumps

Ait-Sahalia, Yacine - 2003

Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle...

Persistent link: https://www.econbiz.de/10012468781

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