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A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10003893144

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009

Persistent link: https://www.econbiz.de/10003909174

A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation

Hautsch, Nikolaus - 2010

We introduce a blocking and regularization approach to estimate high-dimensional covariances using high frequency data. Assets are first grouped according to liquidity. Using the multivariate realized kernel estimator of Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a), the covariance...

Persistent link: https://www.econbiz.de/10013150590

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...

Persistent link: https://www.econbiz.de/10011775136

Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

Persistent link: https://www.econbiz.de/10011379456

Are the scaling properties of bull and bear markets identical? : evidence from oil and gold markets

Günay, Samet - In: International Journal of Financial Studies : open … 2 (2014) 4, pp. 315-334

. According to the results, bear periods have higher volatility persistency than bull periods. …

Persistent link: https://www.econbiz.de/10010470512

A joint analysis of the KOSPI 200 option and ODAX option markets dynamics

Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …

Persistent link: https://www.econbiz.de/10003828611

Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets

Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17

In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...

Persistent link: https://www.econbiz.de/10011474619

Price Jumps on European Stock Markets

Hanousek, Jan - 2013

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...

Persistent link: https://www.econbiz.de/10013071459

Asymmetry Effects in Chinese Stock Markets Volatility : A Generalized Additive Nonparametric Approach

Hou, Ai Jun - 2010

and the specification form of the volatility process when modelling volatility with the parametric GARCH family models …. This paper examines the Chinese stock market volatility and the asymmetric effects in the Chinese stock volatility by a … empirical result from the GAMNP model demonstrates better performance for the volatility forecasts, particularly in the out …

Persistent link: https://www.econbiz.de/10013150228

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