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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

Cross listing: price discovery dynamics and exchange rate effects

Scherrer, Cristina M. - School of Economics and Management, University of Aarhus - 2014

The paper investigates the dynamics of price discovery for cross-listed firms and the impact of exchange rate shocks on firm value. A simple price discovery model is proposed in which prices in the home and foreign markets react to shocks on two latent prices, namely, the efficient firm value...

Persistent link: https://www.econbiz.de/10011098648

Forward-Looking Betas

Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory - School of Economics and Management, University of Aarhus - 2007

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

Evaluating Value-at-Risk Models with Desk-Level Data

Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008

We present new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts obtained from a large international commercial bank. Our dataset includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in...

Persistent link: https://www.econbiz.de/10005037434

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

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2007

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the...

Persistent link: https://www.econbiz.de/10005440033

Pricing Volatility of Stock Returns with Volatile and Persistent Components

Zhu, Jie - School of Economics and Management, University of Aarhus - 2008

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 respectively. Then the model is applied to 10 Asia-Pacific stock...

Persistent link: https://www.econbiz.de/10005440035

Inference for the jump part of quadratic variation of Itô semimartingales

Veraart, Almut - School of Economics and Management, University of Aarhus - 2008

asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory which is applicable in …

Persistent link: https://www.econbiz.de/10005440041

Option Valuation with Long-run and Short-run Volatility Components

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - School of Economics and Management, University of Aarhus - 2008

This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model can be...

Persistent link: https://www.econbiz.de/10005440047

Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2008

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