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Inference for the jump part of quadratic variation of Itô semimartingales
Veraart, Almut - School of Economics and Management, University of Aarhus - 2008
quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the … multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the …
Persistent link: https://www.econbiz.de/10005440041
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Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2008
This paper studies the effect of time–inhomogeneous jumps and leverage type effects on realised variance calculations …–maximumlikelihood setup to draw inference on the model parameters. In order to do that, this paper introduces a new methodology for deriving …
Persistent link: https://www.econbiz.de/10005440052
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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010333208
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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2009
This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility of...
Persistent link: https://www.econbiz.de/10005025510
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Portfolio Tail-Risk Protection With Non-linear Latent Factors
Spilak, Bruno; Härdle, Wolfgang Karl - 2023
Tail risk protection is a mantra in portfolio allocation. A common method in this context is the NMFRB allocation. Here, we extend it to drawdown risk measures and show that the proposed portfolios compete with machine learning-based portfolios such as Hierarchical Risk Parity (HRP) and...
Persistent link: https://www.econbiz.de/10014349960
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Risk Budget Portfolios With Convex Non-negative Matrix Factorization
Spilak, Bruno; Härdle, Wolfgang Karl - 2023
We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization (NMF). Unlike classical factor analysis, PCA, or ICA, NMF ensures positive factor loadings to obtain interpretable long-only portfolios. As the NMF factors represent separate...
Persistent link: https://www.econbiz.de/10014350054
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Time-varying Price Discovery
Fruet Dias, Gustavo; Fernandes, Marcelo; Scherrer, … - 2023
We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a daily frequency. Given the empirical and theoretical evidence that price discovery measures relate to highly persistent fundamentals, we adopt a...
Persistent link: https://www.econbiz.de/10014353587
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Does non-linear factorization of financial returns help build better and stabler portfolios?
Spilak, Bruno; Härdle, Wolfgang K. - 2022
A portfolio allocation method based on linear and non-linear latent constrained conditional factors is presented. The factor loadings are constrained to always be positive in order to obtain long-only portfolios, which is not guaranteed by classical factor analysis or PCA. In addition, the...
Persistent link: https://www.econbiz.de/10013292299
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Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2010
idiosyncratic jumps, together with conventional long-span asymptotics and Extreme Value Theory (EVT) approximations for consistently … portfolio, we find that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and not … necessarily symmetric. Our estimates also point to the existence of strong dependencies between the market-wide jumps and the …
Persistent link: https://www.econbiz.de/10008677227