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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
domestic volatility after good shocks but a bad hedge after crashes …
Persistent link: https://www.econbiz.de/10003394353
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A comparison of tail behaviour of stock market returns
Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34
Persistent link: https://www.econbiz.de/10010518936
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Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
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The impact of shocks on higher moments
Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
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Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10011386468
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Herd behavior and aggregate fluctuations in financial markets
Cont, Rama; Bouchaud, Jean-Philippe - In: Macroeconomic dynamics 4 (2000) 2, pp. 170-196
Persistent link: https://www.econbiz.de/10001500432
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The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market
Lihn, Stephen H.T. - 2009
This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a … is studied in details, which incorporates the fat tails into the volatility (aka the volatility of volatility). We show … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals …
Persistent link: https://www.econbiz.de/10013159227
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Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto - In: Computational management science 19 (2022) 1, pp. 99-132
Persistent link: https://www.econbiz.de/10012817299
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Ants, Traders, and Fat Tails : An Application of the Kirman (1993) Model
Sano, Kazuo - 2017
If you put two mounds of sugar with identical conditions near an ants' nest, which one will the ants congregate at? Kirman explained the process of ant social herding using a simple model, and he conducted an interesting simulation. The fat tail distribution in the security market is well known,...
Persistent link: https://www.econbiz.de/10012972396
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280