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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10003727640
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Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality
Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887
's dynamic properties may lead to misestimation of the intraday spot volatility. …
Persistent link: https://www.econbiz.de/10011411344
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, Uta - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10010274148
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Measuring and Modeling Risk Using High-Frequency Data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so …{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10005860514
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Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10008748137
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Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10008749839
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Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10009308298
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010411945
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010412428
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10003909174