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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang Karl; Mungo, Julius - 2007
Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …
Persistent link: https://www.econbiz.de/10010274129
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang Karl; Mungo, Julius - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10010274140
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …. -- Implied Volatility ; Dynamic Semiparametric Factor Modeling ; Long Memory ; Fractional Integrated Volatility Models …
Persistent link: https://www.econbiz.de/10003633787
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10003636008
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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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Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
Chen, Richard - 2017
In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we investigate the impact of non-stationary microstructure...
Persistent link: https://www.econbiz.de/10012970519
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012958874
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012910613
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross-section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012935749
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012932023