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is presented in this paper and evaluated by means of a simulation and a real world example of volatility spillovers in …
Persistent link: https://www.econbiz.de/10005731539
, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector …, number of trades and realized volatility reveals empirical support for a dynamically interdependent pattern of relationships …
Persistent link: https://www.econbiz.de/10005731543
gains over the equation by equation approach using a four variable fully interdependent model with different volatility …
Persistent link: https://www.econbiz.de/10005731544
In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized … volatility, bipower realized volatility, two scales realized volatility, realized kernel as well as the daily range. We propose a …-Spline Multiplicative Error Model. Exploiting UHFD volatility measures, VaR predictive ability is considerably improved upon relative to a …
Persistent link: https://www.econbiz.de/10005075734
The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …
Persistent link: https://www.econbiz.de/10005731535
We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as …
Persistent link: https://www.econbiz.de/10005812866
Persistent link: https://www.econbiz.de/10001408949
Problems related to deterministic solution of nonlinear econometric models are well known in the literature. The use of mean (average) stochastic simulation results has been usually proposed to solve the problem of bias. This raises however other types of problems, like possible non-coherent...
Persistent link: https://www.econbiz.de/10015222352
selection, ad hoc algorithms are used and the theory of reduction, proposed by David Hendry, is also briefly described. …
Persistent link: https://www.econbiz.de/10015232126
, and foremost, volatility measured on the basis of ultra-high frequency data, but also volumes, number of trades, durations … the MEM to the realized kernel volatility of components of the S&P100 index. We suggest extensions of the base model by …
Persistent link: https://www.econbiz.de/10009643126