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Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
Herwartz, Helmut; Golosnoy, Vasyl - 2007
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...
Persistent link: https://www.econbiz.de/10010296287
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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach
Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio … comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean … profit and loss data and Value-at-Risk estimates of the 11 banks, the paper specifically models and analyzes the portfolio …
Persistent link: https://www.econbiz.de/10010298783
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Macroeconomic development and stock market performance : a non-parametric approach
Adu, George; Marbuah, George; Mensah, Justice Tei; … - 2013
This paper applies a local-linear non-parametric kernel regression technique to examine the effect of macroeconomic factors on stock market performance in Ghana. We show that the popular parametric specification in the existing literature suffers from functional misspecification. The evidence...
Persistent link: https://www.econbiz.de/10011526923
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Peaks or tails : what distinguishes financial data?
Krämer, Walter; Runde, Ralf - 1999
We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from ‘normal’ variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data...
Persistent link: https://www.econbiz.de/10009793263
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Robust estimation of integrated variance and quarticity under flat price and no trading bias
Schulz, Frowin C. - 2010 - 2nd version: August 7, 2010
This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...
Persistent link: https://www.econbiz.de/10008939379
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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio … comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean … profit and loss data and Value-at-Risk estimates of the 11 banks, the paper specifically models and analyzes the portfolio …
Persistent link: https://www.econbiz.de/10003846947
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Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young - 2020
We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...
Persistent link: https://www.econbiz.de/10012855793
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Stock Price Analysis Under Extreme Value Theory
Louangrath, Paul - 2017
the SET100 index. From the sample distribution F(X), extreme values were identified. A tail index E was calculated to … verify the distribution for each security was identified. Using EVT, the threshold value was estimated and used as a tool for … risk assessment for each stock. It was found that Thailand's SET100 consists of two groups of stocks according to price …
Persistent link: https://www.econbiz.de/10012970310
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Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
Chen, Richard - 2017
hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we …
Persistent link: https://www.econbiz.de/10012970519
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Roughing up Beta : Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns
Bollerslev, Tim - 2016
discontinuous and overnight returns entail significant risk premiums, while the intraday continuous beta does not. These higher risk …
Persistent link: https://www.econbiz.de/10013005591