Showing 1 - 10 of 4,789
asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10009771770
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the … assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …
Persistent link: https://www.econbiz.de/10011674479
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …
Persistent link: https://www.econbiz.de/10011730304
We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in … forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that … threshold bipower variation measures. Incorporating signed finite and infinite jumps generates significantly better real …
Persistent link: https://www.econbiz.de/10012030057
Persistent link: https://www.econbiz.de/10011499786
using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear …
Persistent link: https://www.econbiz.de/10010478989
Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in … the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the … these findings, and “time-span robust” tests indicate that the prevalence of jumps is not as universal as might be expected. …
Persistent link: https://www.econbiz.de/10012025640
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the … Cholesky MSV model with long memory and asymmetry shows stable and better forecasting performance for one-day, five-day and ten …
Persistent link: https://www.econbiz.de/10010259630
We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...
Persistent link: https://www.econbiz.de/10011654447
The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over …
Persistent link: https://www.econbiz.de/10011715842