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Andersen, Torben (ed.); Bollerslev, Tim (ed.) - 2018

Schwert and Robert F. Stambaugh (1987), 'Expected Stock Returns and Volatility', Journal of Financial Economics, 19 (1 …), September, 3-29 -- 6. G. William Schwert (1989), 'Why Does Stock Market Volatility Change Over Time?', Journal of Finance, XLIV … between the Expected Value and the Volatility of the Nominal Excess Return on Stocks', Journal of Finance, XLVIII (5 …

Persistent link: https://www.econbiz.de/10012251697

Fixed-k inference for volatility

Bollerslev, Tim; Li, Jia; Liao, Zhipeng - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1053-1084

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility …-to-calculate pointwise confidence intervals for the volatility at any given point in time. Extending the theory to a high …

Persistent link: https://www.econbiz.de/10012795628

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Andersen, Torben G. - 2016

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

Persistent link: https://www.econbiz.de/10013004300

Financial Risk Measurement for Financial Risk Management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - School of Economics and Management, University of Aarhus - 2011

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...

Persistent link: https://www.econbiz.de/10009371457