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Risk spillovers in international equity portfolios
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012
assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …
Persistent link: https://www.econbiz.de/10010407672
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FEER Index - Forecasting Extreme Events Risk
Kauffmann, Amitay - 2013
In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn't forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and heavy tail risk. Such measures were proposed by...
Persistent link: https://www.econbiz.de/10013090906
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A Forest Full of Risk Forecasts for Managing Volatility
Kleen, Onno; Tetereva, Anastasija - 2022
forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging … significantly higher utility for volatility managed portfolios. Superior forecast performance is especially pronounced for firms …
Persistent link: https://www.econbiz.de/10013404288
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Uncertainty index and stock volatility prediction : evidence from international markets
Gong, Xue; Zhang, Weiguo; Xu, Weijun; Li, Zhe - In: Financial innovation : FIN 8 (2022), pp. 1-44
This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the …
Persistent link: https://www.econbiz.de/10013272632
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Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market
Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27
Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … great importance to theorists and practitioners. Models used to estimate volatility forecasts are translated into better …
Persistent link: https://www.econbiz.de/10011901688
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Bespoke Realized Volatility : Tailored Measures of Risk for Volatility Prediction
Patton, Andrew J.; Zhang, Haozhe - 2023
Standard realized volatility (RV) measures estimate the latent volatility of an asset price using high frequency data … estimate of volatility to the application in which it will be used. For example, if the volatility measure will be used in a … volatility. We use methods from machine learning to estimate optimal “bespoke” RVs for heterogeneous autoregressive (HAR) and …
Persistent link: https://www.econbiz.de/10014255167
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Nonlinear Spillover Effects of US Financial Uncertainty
Huang, Yu-Fan; Wang, Taining - 2023
We show that US financial uncertainty has nonlinear spillover effects on the conditional distribution of forecasted GDP growth worldwide. This nonlinearity stems from asymmetric responses of domestic and international credit conditions following a US financial uncertainty shock. Through the...
Persistent link: https://www.econbiz.de/10014349794
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It's in the news : developing a real time index for economic uncertainty based on Finnish news titles
Avela, Aleksi; Lehmus, Markku - 2020
Uncertainty may affect economic behavior of individuals and firms in a wide variety of ways, with typically negative consequences for economic growth. It is due to this fact, combined with rising political uncertainty observed lately in many countries, that uncertainty has gained increasing...
Persistent link: https://www.econbiz.de/10012503571
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Distribution forecast targeting in an open-economy, macroeconomic volatility and financial implications
Flamini, Alessandro; Milas, Costas - In: Journal of financial stability 16 (2015), pp. 89-105
Persistent link: https://www.econbiz.de/10011573962
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396