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A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
for the cointegration rank test are also brie y discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …
Persistent link: https://www.econbiz.de/10010381434
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A Fractionally Cointegrated VAR Model with Deterministic Trends and Application to Commodity Futures Markets
Dolatabadi, Sepideh - 2017
for the cointegration rank test are also briefly discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …
Persistent link: https://www.econbiz.de/10012946780
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Forecasting exchange rate volatility in the presence of jumps
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2005
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10010290348
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2008
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...
Persistent link: https://www.econbiz.de/10010290353
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas (contributor);  … - 2008
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...
Persistent link: https://www.econbiz.de/10003762693
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Forecasting exchange rate volatility in the presence of jumps
Busch, Thomas (contributor);  … - 2005
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10003795291
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas - 2008
We study the forecasting of future realized volatility in the stock, bond, and foreign exchange markets, as well as the continuous sample path and jump components of this, from variables in the information set, including implied volatility backed out from option prices. Recent nonparametric...
Persistent link: https://www.econbiz.de/10012723971
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - Economics Department, Queen's University - 2008
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...
Persistent link: https://www.econbiz.de/10004979472
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - School of Economics and Management, University of Aarhus - 2007
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...
Persistent link: https://www.econbiz.de/10005004428
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Forecasting Exchange Rate Volatility in the Presence of Jumps
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - Economics Department, Queen's University - 2005
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10005653154