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Bach, Christian - School of Economics and Management, University of Aarhus - 2011

of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation … based on the results of the respective models. The CCAPM model performs substantially better than the CAPM based model when …

Persistent link: https://www.econbiz.de/10009293656

Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach

Bach, Christian; Christensen, Bent Jesper - School of Economics and Management, University of Aarhus - 2011

We include simultaneously both realized volatility measures based on high-frequency asset returns and implied volatilities backed out of individual traded at the money option prices in a state space approach to the analysis of true underlying volatility. We model integrated volatility as a...

Persistent link: https://www.econbiz.de/10008835428

Level Shifts in Volatility and the Implied-Realized Volatility Relation

Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010

We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the...

Persistent link: https://www.econbiz.de/10008549066

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013

The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...

Persistent link: https://www.econbiz.de/10010851243

VPIN and the Flash Crash

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011

Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful for monitoring order fl ow imbalances and signaling impending market turmoil, exemplified by the ash crash. They also deem VPIN a good forecaster of short-term volatility. In...

Persistent link: https://www.econbiz.de/10009644870

Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?

Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2011

Yes. We use intraday data to compute weekly realized variance, skewness and kurtosis for individual equities and assess whether this week?s realized moments predict next week?s stock returns in the cross-section. We sort stocks each week according to their past realized moments, form decile...

Persistent link: https://www.econbiz.de/10009385751

Risk-Return Trade-Off for European Stock Markets

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - School of Economics and Management, University of Aarhus - 2013

This paper adopts dynamic factor models with macro-fi?nance predictors to revisit the intertemporal risk-return relation in ?five large European stock markets. We identify country specifi?c, Euro area, and global factors to determine the conditional moments of returns considering the role of...

Persistent link: https://www.econbiz.de/10010851247

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013

We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments? time-series and cross-sectional properties. We investigate if this week?'s realized moments are informative for the cross-section of next week'?s stock returns. We...

Persistent link: https://www.econbiz.de/10010851291

Predictable return distributions

Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2010

This paper provides detailed insights into predictability of the entire stock and bond return distribution through the use of quantile regression. This allows us to examine speci?c parts of the return distribution such as the tails or the center, and for a suf?ciently ?ne grid of quantiles we...

Persistent link: https://www.econbiz.de/10008462025

Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability

Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011

The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized volatility and the market’s ex-ante expectation thereof,...

Persistent link: https://www.econbiz.de/10009399368

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