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Conservatism in Corporate Valuation
Bach, Christian - School of Economics and Management, University of Aarhus - 2011
Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the sense that it discounts forecasted residual income for...
Persistent link: https://www.econbiz.de/10009293656
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Forecasting with Option Implied Information
Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - School of Economics and Management, University of Aarhus - 2011
volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …
Persistent link: https://www.econbiz.de/10009385753
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Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing - School of Economics and Management, University of Aarhus - 2015
changes that are superior to various alternative forecast procedures based on lower frequency data. …
Persistent link: https://www.econbiz.de/10011118617
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A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013
. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is …
Persistent link: https://www.econbiz.de/10010851263
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Modelling Changes in the Unconditional Variance of Long Stock Return Series
Amado, Cristina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012
superiority of volatility forecast accuracy of the new model over the GJR-GARCH model at all horizons for a subset of the long …In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very … long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an …
Persistent link: https://www.econbiz.de/10009652370
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Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - School of Economics and Management, University of Aarhus - 2011
We propose a parametric state space model with accompanying estimation and forecasting framework that combines long memory and level shifts by decomposing the underlying process into a simple mixture model and ARFIMA dynamics. The Kalman filter is used to construct the likelihood function after...
Persistent link: https://www.econbiz.de/10009150791
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Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach
Marczak, Martyna; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2014
Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The...
Persistent link: https://www.econbiz.de/10010885055
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Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - School of Economics and Management, University of Aarhus - 2015
We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the … asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the … existing models that implicitly ignore the temporal variation in the magnitude of the realized volatility measurement errors. …
Persistent link: https://www.econbiz.de/10011207425
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Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …
Persistent link: https://www.econbiz.de/10010945126
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Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - School of Economics and Management, University of Aarhus - 2011
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10009371457