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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
; Zero-Returns ; Price Jumps ; Robust Estimation ; High-Frequency Data ; Electricity Forward Contract …
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
so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence … ; multivariate Spearman's rho ; time-varying copula ; asymptotic test theory ; hierarchical testing ; control chart theory …
Persistent link: https://www.econbiz.de/10003846947
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaißer, Sandra Caterina - 2016
so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence …
Persistent link: https://www.econbiz.de/10012989258
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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
so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence …
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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Predictive Inference for Integrated Volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2007
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10014052487
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Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10009130720
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Predictive inference for integrated volatility
Corradi, Valentina (contributor);  … - 2006
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10003698497
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Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
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Asymmetry Effects in Chinese Stock Markets Volatility : A Generalized Additive Nonparametric Approach
Hou, Ai Jun - 2010
The unique characteristics of Chinese stock markets give rise to the difficulty of assuming innovation distributions 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...
Persistent link: https://www.econbiz.de/10013150228