Showing 1 - 10 of 3,011
In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is … the estimated degrees of freedom result sensitively lower when extremely high values in the volatility process are present …
Persistent link: https://www.econbiz.de/10012718762
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...
Persistent link: https://www.econbiz.de/10014107616
This paper analyses the constant elasticity of volatility (CEV) model suggested by [6]. The CEV model without mean …
Persistent link: https://www.econbiz.de/10013156548
by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …
Persistent link: https://www.econbiz.de/10011731521
This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine...
Persistent link: https://www.econbiz.de/10009746033
volatility density estimator in discrete-time stochastic volatility models. …
Persistent link: https://www.econbiz.de/10011297541
volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …
Persistent link: https://www.econbiz.de/10003698522
volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …
Persistent link: https://www.econbiz.de/10014062176
-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but …
Persistent link: https://www.econbiz.de/10012264979
The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for time-varying conditional densities of each individual variable, and for time-varying conditional dependence between the variables. Further, the use of copulas in constructing...
Persistent link: https://www.econbiz.de/10014122438