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Detecting serial dependence in tail events
Diks, Cees G. H. - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011327543
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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Detecting serial dependence in tail events : a test dual to the BDS test
Diks, Cees G. H. - 2002
Persistent link: https://www.econbiz.de/10001689451
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Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
volatility model for theS&P500. …
Persistent link: https://www.econbiz.de/10010339446
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Observation-driven models for realized variances and overnight returns
Opschoor, Anne; Lucas, André - 2019 - This version: July 23, 2019
We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open …-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact …-to-close volatility changes substantially through time, especially for financial stocks. …
Persistent link: https://www.econbiz.de/10012056853
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Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
Persistent link: https://www.econbiz.de/10010494787
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Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns
Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
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Implied volatility sentiment : a tale of two tails
Stork, Philip; Félix, Luiz; Kräussl, Roman - 2017
. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …
Persistent link: https://www.econbiz.de/10011583312
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Abnormal returns, risk, and options in large data sets
Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998
Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...
Persistent link: https://www.econbiz.de/10011299966
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10010464790