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Extreme Downside Risk and Market Turbulence
Harris, Richard D. F. - 2019
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …
Persistent link: https://www.econbiz.de/10012871525
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Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance
Mykland, Per A. - 2016
The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that...
Persistent link: https://www.econbiz.de/10013006101
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, Uta - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … of volatility. Moreover, non-parametric measures af systematic risk are attainable, that can straightforwardly be used to …
Persistent link: https://www.econbiz.de/10010274148
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Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations
Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...
Persistent link: https://www.econbiz.de/10005858366
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Efficient Derivative Pricing by Extended Method of Moments
Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005
rate can be nonparametric for the risk premium parameters. We derive the kernel nonparametric efficiency bounds for … prices, and to estimate the risk premium parameters. …
Persistent link: https://www.econbiz.de/10005858515
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Measuring and Modeling Risk Using High-Frequency Data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … of volatility. Moreover, non-parametric measures of systematic risk are attainable, that can straightforwardly be used to …
Persistent link: https://www.econbiz.de/10005860514
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … of volatility. Moreover, non-parametric measures af systematic risk are attainable, that can straightforwardly be used to …
Persistent link: https://www.econbiz.de/10003727640
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A quantitative mirror on the Euribor market using implied probability density functions
Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010
This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...
Persistent link: https://www.econbiz.de/10008901645
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...
Persistent link: https://www.econbiz.de/10010533201
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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...
Persistent link: https://www.econbiz.de/10009719116