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Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components
Boudt, Kris - 2012
-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …
Persistent link: https://www.econbiz.de/10013115577
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Empirical Evidence Against CAPM : Relating Alphas and Returns to Betas
Agrawal, Mayur - 2012
One of the consequences of the Capital Asset Pricing Model (CAPM) is that the expected excess return of a financial instrument is proportional to the expected excess market return. The proportionality constant, called the instrument's beta, is the coefficient in the linear least-squares fit of...
Persistent link: https://www.econbiz.de/10013109213
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Bootstrapping Daily Returns
Bowers, Colin - 2013
A daily log-return can be regarded as a test statistic - specifically the (unscaled) sample mean of a sequence of intraday random variables. We discuss sufficient conditions for a dependent bootstrap to consistently and non-parametrically estimate the entire distribution of this “test...
Persistent link: https://www.econbiz.de/10013072314
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A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
Köksal, Bülent - 2009
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
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The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets
Buncic, Daniel - 2016
We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross-section of 18 international equity markets, using daily realized measures data from the Oxford-Man Realized Library, and two widely employed empirical models for realized volatility...
Persistent link: https://www.econbiz.de/10012983715
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The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR
Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …
Persistent link: https://www.econbiz.de/10012887711
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Models for heavy-tailed asset returns
Borak, Szymon; Misiorek, Adam; Weron, Rafał - 2010
portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest … return ; Random number generation ; Parameter estimation …
Persistent link: https://www.econbiz.de/10008663369
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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrev, Dobrislav - 2011
exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …
Persistent link: https://www.econbiz.de/10013128339
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Higher Order Realized Power Variations of Semi-Martingales with Applications
Koike, Yuta - 2014
The realized power variations with even order of a discretely observed semi-martingale have been widely studied in literature, due to some important applications in finance, for example, estimating the integrated volatility and integrated quarticity. However, few works have paid attention to the...
Persistent link: https://www.econbiz.de/10013053805
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The analysis of the cross-section of security returns
Jagannathan, Ravi; Skoulakis, Georgios; Wang, Zhenyu - 2010
Persistent link: https://www.econbiz.de/10003900742