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The Economics of Options-Implied Inflation Probability Density Functions
Wright, Jonathan; Kitsul, Yuriy - National Bureau of Economic Research (NBER) - 2012
Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements, and find that the implied odds of deflation...
Persistent link: https://www.econbiz.de/10011276419
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Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Ait-Sahalia, Yacine; Jacod, Jean - National Bureau of Economic Research (NBER) - 2010
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...
Persistent link: https://www.econbiz.de/10008597185
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Disentangling Volatility from Jumps
Ait-Sahalia, Yacine - National Bureau of Economic Research (NBER) - 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/10005710108
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Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
Ait-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - National Bureau of Economic Research (NBER) - 2005
integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant … estimators to the standard realized volatility. …
Persistent link: https://www.econbiz.de/10005713972
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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Ait-Sahalia, Yacine; Mykland, Per A. - National Bureau of Economic Research (NBER) - 2003
Classical statistics suggest that for inference purposes one should always use as much data as is available. We study how the presence of market microstructure noise in high-frequency financial data can change that result. We show that the optimal sampling frequency at which to estimate the...
Persistent link: https://www.econbiz.de/10005720570
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Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
Ait-Sahalia, Yacine - National Bureau of Economic Research (NBER) - 2001
Asset returns have traditionally been modeled in the literature as following continuous-time Markov processes, and in many cases diffusions. Can discretely sampled financial rate data help us decide which continuous-time models are sensible? Diffusion processes are characterized by the...
Persistent link: https://www.econbiz.de/10005830473
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High Frequency Market Microstructure Noise Estimates and Liquidity Measures
Ait-Sahalia, Yacine; Yu, Jialin - National Bureau of Economic Research (NBER) - 2008
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...
Persistent link: https://www.econbiz.de/10005774927
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Predictive Regressions: A Present-value Approach
Binsbergen, Jules H. van; Koijen, Ralph S.J. - National Bureau of Economic Research (NBER) - 2010
We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict...
Persistent link: https://www.econbiz.de/10008532140
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Multifrequency News and Stock Returns
Calvet, Laurent E.; Fisher, Adlai Julian - National Bureau of Economic Research (NBER) - 2005
-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …
Persistent link: https://www.econbiz.de/10005011929
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert; Hoerova, Marie - National Bureau of Economic Research (NBER) - 2013
tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …
Persistent link: https://www.econbiz.de/10011095630