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Allowing for Jump Measurements in Volatility : A High-Frequency Financial Data Analysis of Individual Stocks
Papavassiliou, Vassilios G. - 2016
Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyze the distributional...
Persistent link: https://www.econbiz.de/10013004411
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Forecasting Using High-Frequency Data : A Comparison of Asymmetric Financial Duration Models
Zhang, Qi - 2010
The first purpose of this paper is to assess the short-run forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM-ACD) model is better than the Asymmetric...
Persistent link: https://www.econbiz.de/10013137525
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Foreign Exchange and the Capital Market Dynamics : New Evidence from Non-linear Autoregressive Distributed Lag Model
Omoregie, Osaretin Kayode - 2020
study recommends that to properly hedge and diversify portfolio against potential risk in these two markets, market players …
Persistent link: https://www.econbiz.de/10012834326
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Filtering Noise from Correlation Matrices (Detection of Correlation Diversion, Pairs Trading, Risk Analysis, Et Al.)
Izmailov, Alexander - 2014
Demonstration of the omnipresence of noise in financial correlation/covariance matrices revealed by means of random matrix theory, a branch of probability theory.Introduction of the Shannon entropy as a measure of noise in correlation matrices. Demonstration of substantial entropy decrease as a...
Persistent link: https://www.econbiz.de/10013060895
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'Portfolio Rebalancing with Reinvestment Based on Noise Filtered Correlation/Covariance Matrices and the Case of NASDAQ 100' : Paper 2 in a Series 'Uncovering Hidden Dependencies'
Izmailov, Alexander - 2014
Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics) of Market Memory Trading, L.L.C. present, in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...
Persistent link: https://www.econbiz.de/10013061422
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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021
The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …
Persistent link: https://www.econbiz.de/10013214142
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Countering cybercrime risks in financial institutions : forecasting information trends
Kuzior, Aleksandra; Brożek, Paulina; Kuzmenko, Olha; … - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-22
This article aims to forecast the information trends related to the most popular cyberattacks, seen as the cyber-crimes' consequences reflecting on the Internet. The study database was formed based on online users' search engine requests regarding the terms "Cyberattacks on the computer systems...
Persistent link: https://www.econbiz.de/10014284116
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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719