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Dude Where's My VaR? Annualising Volatility with Serial Correlation
Scott, Robert B. - 2017
Investors who use a risk-adjusted return approach to decision-making, could be making significant errors should they fail to adjust for serial correlation in fund, index and relative return data. The standard deviation of daily, weekly and monthly returns are often annualised using what is known...
Persistent link: https://www.econbiz.de/10012975781
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Private equity and the leverage myth
Czasonis, Megan; Kinlaw, William; Kritzman, Mark; … - 2020 - This version: February 11, 2020
Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is...
Persistent link: https://www.econbiz.de/10012225151
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Maximum likelihood estimation of stock volatility using jump-diffusion models
Chekenya, Nixon S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-17
We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...
Persistent link: https://www.econbiz.de/10012023360
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Estimation of long memory in volatility using wavelets
Baruník, Jozef; Kraicová, Lucie - 2014
wavelet transform, which improves the estimator performance, as we show in the experiment extension. Next, we study all the …-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility …, and study its properties. Based on an extensive Monte Carlo experiment, both the behavior of the new estimator in various …
Persistent link: https://www.econbiz.de/10010429915
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article it is argued that one...
Persistent link: https://www.econbiz.de/10011386124
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Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
McCloskey, Adam - 2012 - This version: October 2012
I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully … lowfrequency contamination. A simulation study examines the finite sample properties of the robust estimator, showing substantial …
Persistent link: https://www.econbiz.de/10009660446
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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 the NL-ILS estimator by providing algorithms that consider the GARCH(1,1), weak …
Persistent link: https://www.econbiz.de/10012928873
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Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
Asai, Manabu - 2017
In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which...
Persistent link: https://www.econbiz.de/10012944285
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Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends
McCloskey, Adam - 2012
I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully … types of lowfrequency contamination. A simulation study examines the finite sample properties of the robust estimator …
Persistent link: https://www.econbiz.de/10013098304
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402