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Long-Run Wavelet-Based Correlation for Financial Time Series

Conlon, Thomas - 2018

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation estimator, distinguishing between long-run common behavior...

Persistent link: https://www.econbiz.de/10012917953

News Arrival, Time-Varying Jump Intensity, and Realized Volatility : Conditional Testing Approach

Erdemlioglu, Deniz; Yang, Xiye - 2022

This paper introduces new econometric tests to identify stochastic intensity jumps in high-frequency data. Our approach … S&P 500 exchange-traded fund (ETF) data, we find strong evidence for the presence of intensity jumps surrounding the … scheduled Federal Open Market Committee (FOMC) policy announcements. Intensity jumps occur very frequently, trigger sharp …

Persistent link: https://www.econbiz.de/10013406297

Estimation of Quarticity with High Frequency Data

Mancino, Maria Elvira - 2013

We propose a new methodology based on Fourier analysis to estimate the fourth power of the volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove the consistency of the proposed estimator of the integrated quarticity. Further, we analyse its efficiency in...

Persistent link: https://www.econbiz.de/10013084252

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010515402

Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance

Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018

Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as...

Persistent link: https://www.econbiz.de/10011906446

Exogenous drivers of cryptocurrency volatility : a mixed data sampling approach to forecasting

Walther, Thomas; Klein, Tony - 2018

We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important...

Persistent link: https://www.econbiz.de/10011906495

Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk

Trucíos, Carlos - 2017

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on the forecast of the conditional variances, covariances and correlations of financial returns. Although the decisions are based on forecasts covariance matrix little is known...

Persistent link: https://www.econbiz.de/10012956168

Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models

Colon, James - 2013

Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...

Persistent link: https://www.econbiz.de/10013086014

Stochastic Properties and Pricing of Bitcoin Using a GJR-GARCH Model with Conditional Skewness and Kurtosis Components

Theodossiou, Panayiotis; Ellina, Polina; Savva, Christos S. - 2022

Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of...

Persistent link: https://www.econbiz.de/10013295231

Modeling dynamic correlation and volatility of the Visegrad Group fuel markets

Krawiec, Monika; Borkowski, Bolesław; Shachmurove, Yochanan - In: Contemporary economics 17 (2023) 4, pp. 424-442

The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad region, namely Hungary, the Czech Republic, Poland, and Slovakia. The primary objective of the paper is to explore regional fuel markets and retail prices in these countries by...

Persistent link: https://www.econbiz.de/10014446868

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