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estimation to the time-frequency domain for the first time. Usage of wavelets allows us to decompose the correlation measures … correlation as they have large impact on these measures. Our results have significant economic value as wrong assumption about the …
Persistent link: https://www.econbiz.de/10010860166
We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the parameters of the models to vary explicitly with the...
Persistent link: https://www.econbiz.de/10011207425
This paper compares several bivariate conditional density parameterizations for stock market returns in terms of in-sample fit and out-of-sample predictive ability for the whole conditional density. We consider Skew-Normal, Skew-Student, Skew-GED and Gram-Charlier densities. We focus on the...
Persistent link: https://www.econbiz.de/10009195298
Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...
Persistent link: https://www.econbiz.de/10011255481
in correlation to the market implying that IFSIs volatility may be independent of the market due to assets that require …
Persistent link: https://www.econbiz.de/10011113217
Since its debut into the islamic capital markets landscape in 2005, islamic Real Estate Investment Trusts (REITs) have not shown significant progress in attracting foreign investment, limiting their potential as the ideal asset class for the Shariah compliant investor. It was suggested that a...
Persistent link: https://www.econbiz.de/10011207083
Accepted by the <Journal of Empirical Finance</I>.<P> We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to...</p></journal>
Persistent link: https://www.econbiz.de/10011256962
We develop a new simultaneous time series model for volatility and dependence in daily financial return series that are subject to long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time...
Persistent link: https://www.econbiz.de/10011116263
We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the...
Persistent link: https://www.econbiz.de/10009386532
This study explores the volatility models and evaluates the quality of one-step ahead forecasts of volatility constructed by (1) GARCH, (2) TGARCH, (3) Risk metrics and (4) Historical volatility. Volatility forecasts suggest that TGARCH performs relatively best in term of MSPE, followed by...
Persistent link: https://www.econbiz.de/10011109012