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Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2007

Persistent link: https://www.econbiz.de/10003633711

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10003633787

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious …

Persistent link: https://www.econbiz.de/10003634717

Testing monotonicity of pricing Kernels

Golubev, Yuri (contributor); Härdle, Wolfgang (contributor) - 2008

by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical … market utility functions are convex. In this paper we have constructed a test to verify uncertainty about the concavity of … agents' utility function by testing the monotonicity of empirical pricing kernels (EPKs). A monotone decreasing EPK …

Persistent link: https://www.econbiz.de/10003635940

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

Persistent link: https://www.econbiz.de/10003636008

Recursive portfolio selection with decision trees

Andriyashin, Anton (contributor); … - 2008

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10003636039

Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

Persistent link: https://www.econbiz.de/10003636113

Structural constant conditional correlation

Weber, Enzo (contributor) - 2008

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

Persistent link: https://www.econbiz.de/10003636117

Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?

Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10003727414

Structural dynamic conditional correlation

Weber, Enzo - 2008

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several variables, this model considers interaction in the...

Persistent link: https://www.econbiz.de/10003796131