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Modeling and forecasting realized range volatility
Caporin, Massimiliano; Velo, Gabriel G. - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011
HAR components in the model improve the point forecasting accuracy while the introduction of asymmetric effects only leads …
Persistent link: https://www.econbiz.de/10009021695
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Forecasting realized (co)variances with a block structure Wishart autoregressive model
Caporin, Massimiliano; Ranaldo, Angelo; Bonato, Matteo - Schweizerische Nationalbank (SNB) - 2009
In modelling and forecasting volatility, two main trade-offs emerge: mathematical tractability versus economic … implemented. The increased availability of high-frequency data provides new tools for forecasting variances and covariances … between assets. However, there is scant literature on forecasting more than one realised volatility. Following Gourieroux …
Persistent link: https://www.econbiz.de/10008924998
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Forecasting realized (co)variances with a block structure Wishart autoregressive model
Caporin, Massimiliano; Ranaldo, Angelo; Bonato, Matteo - Schweizerische Nationalbank (SNB) - 2009
In modelling and forecasting volatility, two main trade-offs emerge: mathematical tractability versus economic … implemented. The increased availability of high-frequency data provides new tools for forecasting variances and covariances … between assets. However, there is scant literature on forecasting more than one realised volatility. Following Gourieroux …
Persistent link: https://www.econbiz.de/10004984637
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Realized Range Volatility Forecasting : Dynamic Features and Predictive Variables
Caporin, Massimiliano - 2013
forecasting daily stocks volatility. We consider an HAR model with asymmetric effects with respect to the volatility and the … significant improvement in the point forecasting accuracy as well and the variables related with the U.S stock market performance …
Persistent link: https://www.econbiz.de/10013076452
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Option Pricing with Anomalous Scaling and Infinite-State Switching Volatility
Baldovin, Fulvio - 2013
Volatility clustering, long-range dependence, non-Gaussianity and anomalous scaling are all well-known stylized facts of financial assets return dynamics. These elements have a relevant impact on the aptness of models for the pricing of options written on financial assets. We make us of a model...
Persistent link: https://www.econbiz.de/10013081140
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Modeling and Forecasting Realized Range Volatility
Caporin, Massimiliano - 2011
HAR components in the model improve the point forecasting accuracy while the introduction of asymmetric effects only leads …
Persistent link: https://www.econbiz.de/10013130487
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The role of jumps in realized volatility modeling and forecasting
Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168
Persistent link: https://www.econbiz.de/10014391446
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Systemic co-jumps
Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short …
Persistent link: https://www.econbiz.de/10011544949
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Systemic co-jumps
Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short …
Persistent link: https://www.econbiz.de/10011544772
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Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
Aielli, Gian Piero; Caporin, Massimiliano - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011
It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the Dynamic Conditional Correlation (DCC) model by allowing for a cluster- ing structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to...
Persistent link: https://www.econbiz.de/10009025296