Narrow search
Showing 1 - 10 of 7,557
Cover Image
High-Frequency Factor Models and Regressions
Ait-Sahalia, Yacine - 2019
We consider a nonparametric time series regression model. Our framework allows precise estimation of betas without the usual assumption of betas being piecewise constant. This property makes our framework particularly suitable to study individual stocks. We provide an inference framework for all...
Persistent link: https://www.econbiz.de/10012894411
Cover Image
Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables
Sizova, Natalia - 2013
The predictability of long-term asset returns increases with the time horizon as estimated in regressions of aggregated-forward returns on aggregated-backward predictive variables. This previously established evidence is consistent with the presence of common slow-moving components that are...
Persistent link: https://www.econbiz.de/10013094461
Cover Image
Intraday forecasts of a volatility index : functional time series methods with dynamic updating
Shang, Han Lin; Yang, Yang; Kearney, Fearghal - In: Application of operations research to financial markets, (pp. 331-354). 2019
Persistent link: https://www.econbiz.de/10012160005
Cover Image
Conditional variance forecasts for long-term stock returns
Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22
In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step...
Persistent link: https://www.econbiz.de/10012127861
Cover Image
Nonparametric Inference of Jump Autocorrelation
Kwok, Simon - 2020
this paper, we introduce a nonparametric inference procedure for the presence of jump autocorrelation in the DGP. Our … toolkit includes (i) an omnibus test that jointly detect the autocorrelation of stationary jumps over all lags, and (ii) a … jump autocorrelogram that enables visualization and pointwise inference of jump autocorrelation. We establish asymptotic …
Persistent link: https://www.econbiz.de/10012824843
Cover Image
Forecasting the realized variance in the presence of intraday periodicity
Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...
Persistent link: https://www.econbiz.de/10012063222
Cover Image
Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
Guo, Ivan - 2016
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least...
Persistent link: https://www.econbiz.de/10012980091
Cover Image
The Nonlinear Iterative Least Squares (NL-ILS) Estimator : An Application to Volatility Models
Fruet Dias, Gustavo - 2018
The paper proposes a new robust estimator for GARCH-type models: the nonlinear iterative least squares (NL-ILS). This estimator is especially useful on specifications where errors have some degree of dependence over time (weak-GARCH) or when the conditional variance is misspecified. I illustrate...
Persistent link: https://www.econbiz.de/10012928873
Cover Image
Idiosyncratic Risk and Stock Returns : A Quantile Regression Approach
Aziz, Tariq - 2016
The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So far the evidence regarding the relation is mixed. This study aims to investigate the cross-sectional relation between idiosyncratic risk and stock returns in the Indian stock...
Persistent link: https://www.econbiz.de/10012996902
Cover Image
Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...
Persistent link: https://www.econbiz.de/10011334362