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Stock volatility in the periods of booms and stagnations
Kaizoji, Taisei - 2010
time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties …The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in … periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the …
Persistent link: https://www.econbiz.de/10011524072
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Volatility-price relationships in power exchanges: A demand-supply analysis
Sapio, Sandro - 2008
The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where...
Persistent link: https://www.econbiz.de/10010328635
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Risk spillovers in international equity portfolios
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012
We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...
Persistent link: https://www.econbiz.de/10010407672
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Volatility-price relationships in power exchanges : a demand-supply analysis
Sapio, Sandro (contributor) - 2008
The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where...
Persistent link: https://www.econbiz.de/10003746245
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Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10011386468
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Stochastic Models for Risk Estimation in Volatile Markets : A Survey
Stoyanov, Stoyan V. - 2010
Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss how these three essential components can be combined...
Persistent link: https://www.econbiz.de/10013134877
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Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
Deschamps, Philippe J. - 2012
Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...
Persistent link: https://www.econbiz.de/10013105412
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Forecasting Extreme Volatility of FTSE-100 with Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices
Markose, Sheri M. - 2013
Since its introduction in 2003, volatility indices such as the VIX based on the model-free implied volatility (MFIV) have become the industry standard for assessing equity market volatility. MFIV suffers from estimation bias which typically underestimates volatility during extreme market...
Persistent link: https://www.econbiz.de/10013086118
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A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models
Kim, Woocheol - 2008
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...
Persistent link: https://www.econbiz.de/10012771020
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Switching to Non-Affine Stochastic Volatility : A Closed-Form Expansion for the Inverse Gamma Model
Langrené, Nicolas - 2016
This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical affine models like the Heston stochastic volatility...
Persistent link: https://www.econbiz.de/10013004351