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an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …
Persistent link: https://www.econbiz.de/10010305714
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We … suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic volatility factor model …
Persistent link: https://www.econbiz.de/10010289033
This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …
Persistent link: https://www.econbiz.de/10010318935
Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the … informativeness of volatility forecasts produced by ARCH models versus the volatility forecasts derived from option prices and in … improving volatility forecasts produced by ARCH and option models and combinations of models. Daily and monthly data are …
Persistent link: https://www.econbiz.de/10010397639
In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …
Persistent link: https://www.econbiz.de/10010294846
The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...
Persistent link: https://www.econbiz.de/10010321428
Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in Mizrach (2002); the second is a new approach...
Persistent link: https://www.econbiz.de/10010263203
aggregation of GARCH processes of Drost and Nijman (1993). Using Swedish data, our estimation method produces an overall larger …
Persistent link: https://www.econbiz.de/10010321544
Current models for predicting volatility do not incorporate information flow and are solely based on historical … predictor of its stock volatility. The results show that future stock volatility is better predicted by our method than the … flow or as an active source for new information influencing future volatility. Our data suggest that semantic content may …
Persistent link: https://www.econbiz.de/10013208705
the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …
Persistent link: https://www.econbiz.de/10013208708