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Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Völker, Florian; Cremers, Heinz; Panzer, Christof - 2012
Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i ….e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and … trading a position, we first define market liquidity risk, its dimensions (tightness, depth, resiliency, immediacy) and causes …
Persistent link: https://www.econbiz.de/10010310853
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Liquidity-Induced Dynamics in Futures Markets
Fagan, Stephen; Gencay, Ramazan - 2008
Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...
Persistent link: https://www.econbiz.de/10011496054
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Realized beta: Persistence and predictability
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004
A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...
Persistent link: https://www.econbiz.de/10010298288
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Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - 2013
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10010326459
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Reno, Roberto - 2010
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not...
Persistent link: https://www.econbiz.de/10010328432
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A stochastic volatility model with conditional skewness
Feunou, Bruno; Tédongap, Roméo - 2011
fit for both the historical and the risk-neutral distribution of returns, compared to existing affine generalized …
Persistent link: https://www.econbiz.de/10010280026
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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 implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10010290416
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; … - 2008
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...
Persistent link: https://www.econbiz.de/10010290422
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Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Andersen, Torben G.; Bollerslev, Tim; Francis X. Diebold - 2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting … allocation, risk management, and derivatives pricing, by separate modeling, forecasting and pricing of the continuous and jump …
Persistent link: https://www.econbiz.de/10010311998