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alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized …Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is …
Persistent link: https://www.econbiz.de/10012467497
What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...
Persistent link: https://www.econbiz.de/10012467618
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …(3) SV model generates a time series for the variance state variable that is strongly negatively correlated with a GARCH … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility …
Persistent link: https://www.econbiz.de/10012467934
, and the theory and application of dynamic volatility models. I treat the latter much more extensively, de …
Persistent link: https://www.econbiz.de/10012468270
intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through …
Persistent link: https://www.econbiz.de/10012465693
typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH …
Persistent link: https://www.econbiz.de/10012471288
and lower frequencies using ARCH and stochastic volatility type models. Most of these studies find highly significant in … volatility forecasts. The present paper demonstrates that ARCH models, contrary to the above contention, produce strikingly …Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good …
Persistent link: https://www.econbiz.de/10012472795
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …
Persistent link: https://www.econbiz.de/10012472796
-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …
Persistent link: https://www.econbiz.de/10012472845
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706