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Increasing weather risk : fact of fiction?
Wang, Weining; Bobojonov, Ihtiyor B.; Härdle, Wolfgang; … - 2011
It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...
Persistent link: https://www.econbiz.de/10009379509
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Increasing Weather Risk : Fact or Fiction?
Wang, Weining; Bobojonov, Ihtiyor; Härdle, Wolfgang K.; … - 2017
It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...
Persistent link: https://www.econbiz.de/10014123486
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Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression
Baruník, Jozef - 2013
This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized … volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model …-free option-implied volatility (MFIV) when assessing the fractional cointegrating relation as the latter may introduce bias to the …
Persistent link: https://www.econbiz.de/10013090381
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Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression
Barunik, Jozef; Barunikova, Michaela - 2015
This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized … volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of … future volatility. It is argued that the concept of corridor implied volatility (CIV) should be used instead of the popular …
Persistent link: https://www.econbiz.de/10011280711
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Reducing the bias of the smoothed log periodogram regression for financial high-frequency data
Reschenhofer, Erhard; Mangat, Manveer Kaur - In: Econometrics : open access journal 8 (2020) 4/40, pp. 1-16
-range dependencies are present only in the intraday volatility but not in the intraday returns. Finally, the robustness of these findings …
Persistent link: https://www.econbiz.de/10012312096
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Nonparametric estimates for conditional quantiles of time series
Franke, Jürgen E.; Mwita, Peter; Wang, Weining - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010238365
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Quantile and Expectile Smoothing based on L1-norm and L2-norm F-transforms
Guerra, Maria Letizia - 2018
The fuzzy transform (F-transform), introduced by I. Perfilieva, is a powerful tool for the construction of fuzzy approximation models; it is based on generalized fuzzy partitions and it is obtained by minimizing a quadratic (L₂-norm) functional. In this paper we describe an analogous...
Persistent link: https://www.econbiz.de/10012906853
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Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
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The global component of inflation volatility
Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721
Persistent link: https://www.econbiz.de/10013332682
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On financial distributions modelling methods : application on regression models for time series
Dewick, Paul R. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-15
, as the distribution and stylized facts can determine if volatility is present, resulting in financial risk and contagion …
Persistent link: https://www.econbiz.de/10013471223