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Estimation of Jump Tails
Bollerslev, Tim; Todorov, Viktor - Duke University, Department of Economics - 2010
with in-fill asymptotic arguments for uniquely identifying the \large" jumps from the data. The estimation allows for very …
Persistent link: https://www.econbiz.de/10008549046
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Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of Econometrics 172 (2013) 2, pp. 307-324
. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT … that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and close to symmetric …
Persistent link: https://www.econbiz.de/10011052337
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Microstructure effect on firm’s volatility risk
Barsotti, Flavia; Sanfelici, Simona - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2012
Equity returns and firm's default probability are strictly interrelated financial measures capturing the credit risk profile of a firm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a firm within Merton [17]...
Persistent link: https://www.econbiz.de/10010734984
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Frontiers in Time Series and Financial Econometrics
McAleer, Michael; Ling, Ling, S.; Tong, Tong, H. - Faculteit der Economische Wetenschappen, Erasmus … - 2015
__Abstract__ Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The...
Persistent link: https://www.econbiz.de/10011274351
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Frontiers in Time Series and Financial Econometrics: An Overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - Tinbergen Instituut - 2015
Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...
Persistent link: https://www.econbiz.de/10011257486
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Robustness of distance-to-default
Jessen, Cathrine; Lando, David - In: Journal of Banking & Finance 50 (2015) C, pp. 493-505
jumps in asset value or stochastic volatility challenge the robustness of DD. We propose a volatility adjustment of the …
Persistent link: https://www.econbiz.de/10011118085
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ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
Creel, Michael; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2014
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps …
Persistent link: https://www.econbiz.de/10010892068
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Multi-period credit default prediction with time-varying covariates
Orth, Walter - In: Journal of Empirical Finance 21 (2013) C, pp. 214-222
In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...
Persistent link: https://www.econbiz.de/10010636027
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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2014
the first-order asymptotic validity of this method in the multivariate context with a potential presence of jumps …
Persistent link: https://www.econbiz.de/10010937808
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We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics.
BAJGROWICZ, Pierre; SCAILLET, Olivier
in nite samples. In Dow Jones stocks, spurious detections represent up to 50% of the jumps detected initially between … 2006 and 2008. For the majority of stocks, jumps do not cluster in time and no cojump aects all stocks simultaneously …, suggesting jump risk is diversiable. We relate the remaining jumps to macroeconomic news, prescheduled company …
Persistent link: https://www.econbiz.de/10010680442