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A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743
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The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2004
Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … volatility components. From a practical point of view, ML also becomes computationally unfeasible for large numbers of components … forecasts which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo …
Persistent link: https://www.econbiz.de/10010295106
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The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2006
forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo … linear compared to optimal forecasts is small. Extending the number of volatility components beyond what is feasible with MLE …
Persistent link: https://www.econbiz.de/10010295151
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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2012
We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...
Persistent link: https://www.econbiz.de/10010326396
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136
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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus; Jeleskovic, Vahidin - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …
Persistent link: https://www.econbiz.de/10010263738
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10010271381
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Latent variable analysis and partial correlation graphs for multivariate time series
Fried, Roland; Didelez, Vanessa - 2003
We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between...
Persistent link: https://www.econbiz.de/10010306285
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Trends and cycles in the Danish economy
Weissert, Christoffer Jessen - 2024
I present empirical results on the contribution of three key drivers of inflation in Denmark: an inflation trend anchored by inflation expectations; the Danish business cycle; and an energy price cycle. All three drivers contribute significantly to the development of inflation and explain most of...
Persistent link: https://www.econbiz.de/10014563915