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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …. -- Implied Volatility ; Dynamic Semiparametric Factor Modeling ; Long Memory ; Fractional Integrated Volatility Models …
Persistent link: https://www.econbiz.de/10003633787
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10003636008
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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang K. - 2017
Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …
Persistent link: https://www.econbiz.de/10012966247
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10011377261
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Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees G. H.; Panchenko, Valentyn; van Dijk, Dick J. C. - 2011
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10014047091
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Negative volatility spillovers in the unrestricted ECCC-GARCH model
Conrad, Christian A. (contributor);  … - 2008
This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model which allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility spillovers were ruled out by the assumption that all...
Persistent link: https://www.econbiz.de/10003764299
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Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
Liao, Yin - 2012
of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility …
Persistent link: https://www.econbiz.de/10013105658
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Forecast Bitcoin volatility with least squares model averaging
Xie, Tian - In: Econometrics : open access journal 7 (2019) 3/40, pp. 1-20
In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto exchange-Binance. Given the unique features of the crypto asset market, we find that conventional regression models exhibit strong model specification uncertainty. To circumvent...
Persistent link: https://www.econbiz.de/10012160813
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Financial Volatility Forecasting
Vafopoulos, Michalis N. - 2011
The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we review the existing empirical literature in...
Persistent link: https://www.econbiz.de/10013122403
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Nonlinear Volatility Models in Economics : Smooth Transition and Neural Network Augmented GARCH, APGARCH, FI-GARCH and FIAGARCH Models
Bildirici, Melike - 2012
Recently, Donaldson and Kamstra (1997) proposed a class of NN-GARCH models which are extended to a class of NN-GARCH family by Bildirici and Ersin (2009). The study aims to analyze the nonlinear behavior and leptokurtic distribution in petrol prices by utilizing a newly developed family of...
Persistent link: https://www.econbiz.de/10013103072