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A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Atak, Alev; Kapetanios, George - In: Economics Letters 120 (2013) 2, pp. 224-228
. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high …
Persistent link: https://www.econbiz.de/10010678826
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Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - School of Economics and Finance, Queen Mary - 2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps … occur around scheduled news releases. However, it is illiquidity rather than the news content that drives jumps. Evidence …
Persistent link: https://www.econbiz.de/10011099075
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Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps … occur around scheduled news releases. However, it is illiquidity rather than the news content that drives jumps. Evidence …
Persistent link: https://www.econbiz.de/10011381002
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps … occur around scheduled news releases. However, it is illiquidity rather than the news content that drives jumps. Evidence …
Persistent link: https://www.econbiz.de/10010472845
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Jumps in Option Prices and Their Determinants : Real-Time Evidence From the E-Mini S&P 500 Options Market
Kapetanios, George - 2019
We provide first-time evidence of the real-time characteristics and drivers of jumps in option prices. To this end, we … simultaneously across strikes and maturities and are uncorrelated with jumps in the underlying futures price. We also find that 14 …% to 28% of detected option price jumps occur around scheduled news releases. However, it is illiquidity rather than the …
Persistent link: https://www.econbiz.de/10012859159
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Jumps in Option Prices and Their Determinants : Real-Time Evidence from the E-Mini S&P 500 Option Market
Kapetanios, George - 2019
We provide first-time evidence of the real-time characteristics and drivers of jumps in option prices. To this end, we … simultaneously across strikes and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected … option price jumps occur around scheduled news releases. However, it is illiquidity rather than the news content that drives …
Persistent link: https://www.econbiz.de/10012905092
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A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
Cipollini, Andrea; Kapetanios, George - School of Economics and Finance, Queen Mary - 2004
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic volatility factor model discussed by Harvey, Ruiz, and Shephard (1994). The method is...
Persistent link: https://www.econbiz.de/10005106432
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Stochastic Volatility Driven by Large Shocks
Kapetanios, George; Tzavalis, Elias - School of Economics and Finance, Queen Mary - 2006
This paper presents a new model of stochastic volatility which allows for infrequent shifts in the mean of volatility, known as structural breaks. These are endogenously driven from large innovations in stock returns arriving in the market. The model has a number of interesting properties. Among...
Persistent link: https://www.econbiz.de/10005106449
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Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
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Stock Returns Predictability with Unstable Predictors
Calonaci, Fabio; Kapetanios, George; Price, Simon - 2022
We re-examine predictability of US stock returns. Theoretically well-founded models predict that stationary combinations of I (1) variables such as the dividend or earnings to price ratios or the consumption/asset/income relationship often known as CAY may predict returns. However, there is...
Persistent link: https://www.econbiz.de/10013308248