Showing 1 - 10 of 114
empirical regularities in credit markets. Our model captures the empirical level and volatility of credit spreads, generates a …
Persistent link: https://www.econbiz.de/10010851248
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …
Persistent link: https://www.econbiz.de/10005440033
In this paper a two-component volatility model based on the component's first moment is introduced to describe the … dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility … empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile …
Persistent link: https://www.econbiz.de/10005440035
Recent research has focused on modelling asset prices by Itô semimartingales. In such a modelling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference...
Persistent link: https://www.econbiz.de/10005440041
This paper presents a new model for the valuation of European options, in which the volatility of returns consists of … easy valuation of European options. The model substantially outperforms a benchmark single-component volatility model that … smirk and the path of spot volatility, but its most distinctive feature is its ability to model the volatility term …
Persistent link: https://www.econbiz.de/10005440047
We extend the VAR based intertemporal asset allocation approach from Campbell et al. (2003) to the case where the VAR parameter estimates are adjusted for small-sample bias. We apply the analytical bias formula from Pope (1990) using both Campbell et al.'s dataset, and an extended dataset with...
Persistent link: https://www.econbiz.de/10005440049
when the logarithmic asset price is given by a Lévy–driven stochastic volatility model. In such a model, the realised …
Persistent link: https://www.econbiz.de/10005440052
Few issues are more important for finance practice than the computation of market betas. Existing approaches compute market betas using historical data. While these approaches differ in terms of statistical sophistication and the modeling of the time-variation in the betas, they are all...
Persistent link: https://www.econbiz.de/10005440055
In this paper we extend the CKLS one factor short rate model to include extreme value nonlinear mean reversion. Similarly to a recent stock market study, we include the smallest short rate during the previous year in the mean equation. We investigate the US and five other major markets (Canada,...
Persistent link: https://www.econbiz.de/10005440056
We suggest an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane (1999), and we apply the approach on annual and quarterly Danish stock and bond returns. For comparative purposes we also estimate and test the standard CRRA model. In...
Persistent link: https://www.econbiz.de/10005440066