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This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …
Persistent link: https://www.econbiz.de/10012629944
Persistent link: https://www.econbiz.de/10003780057
The importance of modelling correlation has long been recognised in the field of portfolio management with large dimensional multivariate problems are increasingly becoming the focus of research. This paper provides a straightforward and commonsense approach toward investigating a number of...
Persistent link: https://www.econbiz.de/10010854931
Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial deriva-tives. The purpose of this special issue on “Risk Management and Financial Deriva-tives” is to highlight some areas in which novel...
Persistent link: https://www.econbiz.de/10010907433
This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of...
Persistent link: https://www.econbiz.de/10011042113
Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and subsequently used in an economic setting such...
Persistent link: https://www.econbiz.de/10005015195
The importance of covariance modelling has long been recognised in the field of portfolio management and large dimensional multivariate problems are increasingly becoming the focus of research. This paper provides a straightforward and commonsense approach toward investigating whether simpler...
Persistent link: https://www.econbiz.de/10009645703
Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function used to estimate the parameters of a volatility...
Persistent link: https://www.econbiz.de/10009645704
Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive economic value in the context of portfolio allocation....
Persistent link: https://www.econbiz.de/10008562388
We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments' time-series and cross-sectional properties. We investigate if this week's realized moments are informative for the cross-section of next week's stock returns. We...
Persistent link: https://www.econbiz.de/10014179412