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Integrated Variance Estimation for Assets Traded in Multiple Venues

Fruet Dias, Gustavo; Schweikert, Karsten - 2022

compute the sum of its squared intra-day returns to obtain an unbiased and efficient realized variance estimator. We derive … the asymptotic distribution of the proposed estimator and provide extensive simulation experiments. An application to spot …

Persistent link: https://www.econbiz.de/10014238903

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-stationary Return Series Model

Gürtler, Marc; Rauh, Ronald - Institut für Finanzwirtschaft <Braunschweig> - 2009

asymptotic normality of a symmetric and of a one-sided kernel estimator of volatilityare outlined with remarks on the bandwidth …

Persistent link: https://www.econbiz.de/10005869539

Testing for Convexity Relevance : An IFRS 9 Benchmark Cashflow Test Proposal (with Stochastic Volatility)

Cefis, Luigi A. - 2017

instruments affected by convexity. The aim of this paper is to introduce and describe a test that can be used to assess whether …

Persistent link: https://www.econbiz.de/10012946977

Calendar Effects and Seasonality on Returns and Volatility

Giovanis, Eleftherios - 2014

methodology followed is the test hypothesis with bootstrap simulated t-statistics. A seasonality test is to investigate if there …

Persistent link: https://www.econbiz.de/10013052188

A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns

Köksal, Bülent - 2009

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

Persistent link: https://www.econbiz.de/10013159436

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

suitable for model identification. The BDS test and the modified version are compared numerically. To enable fair power …A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities … rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more …

Persistent link: https://www.econbiz.de/10011327543

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10013128856

The Limiting Properties of the QMLE in a General Class of Asymmetric Volatility Models

Dahl, Christian - 2008

. (2) It is possible to provide a complete characterization of the asymptotic distribution of the QML estimator based on …

Persistent link: https://www.econbiz.de/10012723834

Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets

Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...

Persistent link: https://www.econbiz.de/10012219567