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Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short …

Persistent link: https://www.econbiz.de/10011544772

Kristoufek, Ladislav - 2014

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming...

Persistent link: https://www.econbiz.de/10010407507

Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011654435

The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading : toward theoretical progress

Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies : open access journal 7 (2019) 3/71, pp. 1-17

This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....

Persistent link: https://www.econbiz.de/10012029331

Correlation Regimes in International Equity and Bond Returns

Aslanidis, Nektarios - 2020

Measuring comovements across international financial markets is important for policy purposes and portfolio management. We develop a new approach to analyse such comovements in relation to key state variables, such as equity market volatility and short-term interest rates. These state variables...

Persistent link: https://www.econbiz.de/10012855725

The Cross-Section of Individual Equity Option Returns

Shafaati, Mobina; Chance, Don M.; Brooks, Robert - 2022

This paper evaluates the underperformance of individual equity options relative to their replicating portfolios. Considering a high-dimensional set of variables, we use a machine learning approach to identify the characteristics of options and their underlying stocks that provide incremental...

Persistent link: https://www.econbiz.de/10013322614

Expected Returns and Large Language Models

Jiang, Jingwen; Kelly, Bryan T.; Xiu, Dacheng - 2023

We extract contextualized representations of news text to predict returns using the state-of-the-art large language models in natural language processing. Unlike the traditional bag-of-words approach, the contextualized representation captures both the syntax and semantics of text, thus...

Persistent link: https://www.econbiz.de/10014351081

News Arrival, Time-Varying Jump Intensity, and Realized Volatility : Conditional Testing Approach

Erdemlioglu, Deniz; Yang, Xiye - 2022

This paper introduces new econometric tests to identify stochastic intensity jumps in high-frequency data. Our approach … S&P 500 exchange-traded fund (ETF) data, we find strong evidence for the presence of intensity jumps surrounding the … scheduled Federal Open Market Committee (FOMC) policy announcements. Intensity jumps occur very frequently, trigger sharp …

Persistent link: https://www.econbiz.de/10013406297

Stochastic Volatility of Volatility and Variance Risk Premia

Barndorff-Nielsen, Ole E. - 2011

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of (integrated) VMOU processes are presented. Further we study the...

Persistent link: https://www.econbiz.de/10013117444

A New Quantitative Approach to Macro Investing : Using Employment Data to Generate Excess Returns

Kelly, Matthew - 2017

Macroeconomic data is often noisy, contradictory and lagging. These limitations render the data difficult to integrate into a robust quantitative investment strategy that generates excess returns. This paper outlines a new approach to macro investing that removes these inherent limitations in...

Persistent link: https://www.econbiz.de/10012946831

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