Similar Search Results

The Nobel Memorial Prize for Robert F. Engle

Diebold, Francis X. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002100061

Modeling and forecasting realized volatility

Anderson, Torben G. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001547064

Modeling regional interdependencies using a global error-correcting macroeconometric model

Pesaran, M. Hashem (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001656767

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001899970

Financial asset returns, direction-of-change forecasting, and volatility dynamics

Christoffersen, Peter F. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002100081

Parametric and nonparametric volatility measurement

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001685965

Asset Pricing with Matrix Jump Diffusions

Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

stochastically correlated default intensities, ormultivariate dynamic portfolio choice with volatility and correlation jumps. We then … dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generatevariations of the implied volatility … skew term structures that are largely unrelated to the level andcomposition of the spot volatility.[...] …

Persistent link: https://www.econbiz.de/10009248844

‘When There is no Place to Hide’: Correlation Riskand the Cross-Section of Hedge Fund Returns

Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...

Persistent link: https://www.econbiz.de/10009248845

Market Belief, Trading Volume, Price Volatility, andLiquidity

Wang, Songtao - Swiss National Centre of Competence in Research North … - 2010

This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and … volatility increases.[...] …

Persistent link: https://www.econbiz.de/10009305076

When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

In a Lucas orchard with heterogeneous beliefs, we study the link between market-wide uncertainty, difference of opinionsand co-movement of stock returns. We show that this link plays an important role in explaining the dynamics of equilibriumvolatility and correlation risk premia. In our...

Persistent link: https://www.econbiz.de/10009305103