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Secular Mean Reversion and Long-Run Predictability of the Stock Market
Zakamulin, Valeriy - 2015
Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...
Persistent link: https://www.econbiz.de/10013036031
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Building news measures from textual data and an application to volatility forecasting
Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46
We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers … which to analyze the link between news and asset price dynamics. We detect the sentiment of news stories using a dictionary … information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …
Persistent link: https://www.econbiz.de/10011711085
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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10010459730
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A fundamental connection : exchange rates and macroeconomic expectations
Stavrakeva, Vania; Tang, Jenny - 2020 - This version: December 2020
This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...
Persistent link: https://www.econbiz.de/10012429208
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GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David - 2020
We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily returns for constituents of the S&P 500 index. We assess the...
Persistent link: https://www.econbiz.de/10012857089
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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Co-jumps, Co-jump Tests and Volatility Forecasting : Monte Carlo and Empirical Evidence
Peng, Weijia; Yao, Chun - 2022
predict the sector-level S&P500 exchange-traded fund (ETF) volatility. It was found that the predictive content of co-jumps is … volatility forecasting. Additionally, we carried out Monte Carlo experiments designed to examine the relative performances of the …
Persistent link: https://www.econbiz.de/10013403992
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Forecast Evaluation in Large Cross-Sections of Realized Volatility
Katsouris, Christis - 2022
In this paper, we consider the forecast evaluation of realized volatility measures under cross-section dependence using …-section when forecasting Realized Volatility. Under the null hypothesis of equal predictive accuracy the benchmark model employed …
Persistent link: https://www.econbiz.de/10013306884
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Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables
Sizova, Natalia - 2013
The predictability of long-term asset returns increases with the time horizon as estimated in regressions of aggregated-forward returns on aggregated-backward predictive variables. This previously established evidence is consistent with the presence of common slow-moving components that are...
Persistent link: https://www.econbiz.de/10013094461
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Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
prices which are themselves forward-looking. In addition, we study the dynamic impact of news on returns and volatility … return news (as opposed to good return news) on volatility. Second, we introduce a concept of news based on the difference … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and …
Persistent link: https://www.econbiz.de/10013128856