Similar Search Results

Sign and Quantiles of the Realized Stock-Bond Correlation

Aslanidis, Nektarios; Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2010

We scrutinize the monthly realized stock-bond correlation based upon high frequency returns. In particular, we use a … predictable to a large extent with bond market liquidity being the most important variable. Moreover, stock market volatility …, inflation uncertainty, short rate volatility, and bond volatility have significant effects upon the sign. In addition, we use …

Persistent link: https://www.econbiz.de/10008525440

Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

This paper proposes a model that simultaneously captures long memory and structural breaks. We model structural breaks through irreversible Markov switching or so-called change-point dynamics. The parameters subject to structural breaks and the unobserved states which determine the position of...

Persistent link: https://www.econbiz.de/10010851215

The Factor Structure in Equity Options

Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris - School of Economics and Management, University of Aarhus - 2013

Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across...

Persistent link: https://www.econbiz.de/10010851218

Sticky continuous processes have consistent price systems

Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan - School of Economics and Management, University of Aarhus - 2013

Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under...

Persistent link: https://www.econbiz.de/10010851256

Stochastic volatility of volatility in continuous time

Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2009

This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility of...

Persistent link: https://www.econbiz.de/10005025510

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options

Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco - School of Economics and Management, University of Aarhus - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...

Persistent link: https://www.econbiz.de/10009492823

Modelling asset correlations during the recent FInancial crisis: A semiparametric approach

Aslanidis, Nektarios; Casas, Isabel - School of Economics and Management, University of Aarhus - 2010

8000 Aarhus C, Denmark

Persistent link: https://www.econbiz.de/10008694897

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Hautsch, Nikolaus; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2010

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...

Persistent link: https://www.econbiz.de/10008490350

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - School of Economics and Management, University of Aarhus - 2009

We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Persistent link: https://www.econbiz.de/10008472103

Tails, Fears and Risk Premia

Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009

We show that the compensation for rare events accounts for a large fraction of the equity and variance risk premia in the S&P 500 market index. The probability of rare events vary significantly over time, increasing in periods of high market volatility, but the risk premium for tail events...

Persistent link: https://www.econbiz.de/10004980201