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A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark...
Ventosa, Daniel - Departament d'Economia i Història Econòmica, …
Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless,...
Persistent link: https://www.econbiz.de/10005823941
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Varianza condicional de medias móviles no-lineales.
Ventosa-Santaulària, Daniel; Velázquez, Alfonso Mendoza; … - In: Ensayos Revista de Economia XXVII (2008) 2, pp. 29-48
We present a new heteroskedastic conditional variance model using NonLinear Moving Average as the basis for this specification [NLMACH(q)]. The typical problem of this class of models-i.e., noninvertibility—is solved by means of an intuitive parametric restriction; this allows us to use...
Persistent link: https://www.econbiz.de/10009143765
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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Modeling Stock Price Movements : Multifractality or Multifractionality?
Bianchi, Sergio - 2011
The scaling properties of two alternative fractal models recently proposed to characterize the dynamics of stock market prices are compared. The former is the Multifractal Model of Asset Return (MMAR) introduced in 1997 by Mandelbrot, Calvet and Fisher in three companion papers. The latter is...
Persistent link: https://www.econbiz.de/10013122371
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Spot Variance Path Estimation and Its Application to High Frequency Jump Testing
Bos, Charles S. - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10013153285
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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 … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …
Persistent link: https://www.econbiz.de/10013159436
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The Limiting Properties of the QMLE in a General Class of Asymmetric Volatility Models
Dahl, Christian - 2008
volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main … the new class of nonlinear volatility models, something which has proven very difficult even for the traditional EGARCH …
Persistent link: https://www.econbiz.de/10012723834
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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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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Modelling the Volatility-Return Trade-Off When Volatility May Be Nonstationary
Dahl, Christian M.; Iglesias, Emma M. - 2009
possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized … disturbance process. Importantly, the volatility in the GARCH-AR model enters the return function in terms of relative volatility …, implying that the risk term can be stationary even if the volatility process is nonstationary. We provide a complete …
Persistent link: https://www.econbiz.de/10014199817