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asset volatility, particularly in estimation of the intrinsic value of stock options. …Volatility is one of the most important characteristics of any financial instrument return. The idea which states that … volatility of financial assets and it corresponds well with the efficient market hypothesis. Therefore, all volatility models use …
Persistent link: https://www.econbiz.de/10010599754
analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …
Persistent link: https://www.econbiz.de/10010945126
volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous …
Persistent link: https://www.econbiz.de/10010834073
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10011099986
__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … positive definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump … indicate that the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible …
Persistent link: https://www.econbiz.de/10011274348
range), which is a measure of volatility. …
Persistent link: https://www.econbiz.de/10010875301
, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10010907434
This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010936606
cointegrating relationship and the long memory of their difference (i.e. the range), which is a measure of realized volatility …
Persistent link: https://www.econbiz.de/10009367192
This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010754801