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Discovering the Drivers of Market Volatility : Asset Allocation Applications

Cho, Hoon; Chun, Dohyun; Ryu, Doojin - 2021

This study investigates the economic and financial drivers of volatility changes and integrates them into stock market volatility forecasting. We first collect a diverse set of predictor variables and analyze them within a unified framework. We discover that only a small number of variables...

Persistent link: https://www.econbiz.de/10013222445

On the modelling and forecasting multivariate realized volatility : Generalized Heterogeneous Autoregressive (GHAR) model

Baruník, Jozef; Čech, František - 2014

We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....

Persistent link: https://www.econbiz.de/10010429957

Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Fičura, Milan - 2017

The profitability of a trading system based on the momentum-like effects of price jumps was tested on the time series of 7 assets (EUR/USD, GBP/USD, USD/CHF and USD/JPY exchange rates and Light Crude Oil, E-Mini S&P 500 and VIX Futures), in each case for 7 different frequencies (ranging from...

Persistent link: https://www.econbiz.de/10012964934

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Multivariate Downside Risk : Normal Versus Variance Gamma

Wallmeier, Martin - 2010

Although several types of options on multiple assets are popular in today's financial markets, valuing multi-asset options is still a challenge in finance. The standard framework of multivariate normality is often inappropriate, since it ignores fat tails and other stylized facts of asset...

Persistent link: https://www.econbiz.de/10013144530

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility spillovers and developed the spillover balance as well as...

Persistent link: https://www.econbiz.de/10014433363

Something in the air: information density, news surprises, and price jumps

Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...

Persistent link: https://www.econbiz.de/10011344170

Understanding Jumps in High Frequency Digital Asset Markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

Persistent link: https://www.econbiz.de/10013323741

Stock Market Volatility and Public Information Flow : A Non-linear Perspective

Bertelsen, Kristoffer Pons; Borup, Daniel; Jakobsen, … - 2021

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information flow do not, regardless of whether news are negative...

Persistent link: https://www.econbiz.de/10013228092

Risk Everywhere : Modeling and Managing Volatility

Bollerslev, Tim - 2017

Based on a unique high-frequency dataset for more than fifty commodities, currencies, equity indices, and fixed income instruments spanning more than two decades, we document strong similarities in realized volatilities patterns across assets and asset classes. Exploiting these similarities...

Persistent link: https://www.econbiz.de/10012970195