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News Aware Volatility Forecasting: Is the Content of News Important?

Robertson, Calum S.; Geva, Shlomo; Wolff, Rodney C. - 2007

The efficient market hypothesis states that the market incorporates all available information to provide an accurate valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely disregard the arrival of asset specific news (i.e.,...

Persistent link: https://www.econbiz.de/10009437639

Folded Variance Estimators for Stationary Time Series

Antonini, Claudia - 2005

This thesis is concerned with simulation output analysis. In particular, we are inter-ested in estimating the variance parameter of a steady-state output process. The estimationof the variance parameter has immediate applications in problems involving (i) the precisionof the sample mean as a...

Persistent link: https://www.econbiz.de/10009476105

Parameter estimation error: a cautionary tale in computational finance

Popovic, Ray - 2010

motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … parameter sigma, we derive the resulting marginal distribution of the approximated GBM. This allows us to derive post-estimation … results for the technically more-complicated formulae associated with our post-estimation process. We discuss an assortment of …

Persistent link: https://www.econbiz.de/10009476145