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Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components
Boudt, Kris - 2012
-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …
Persistent link: https://www.econbiz.de/10013115577
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Estimating the Integrated Volatility with Tick Observations
Jacod, Jean - 2017
We develop a volatility estimator that can be directly applied to tick-by-tick data. More specifically, we consider a model that allows for (i) irregular observation times that can be endogenous, (ii) dependent noise that can have diurnal features and be dependent on the latent price process,...
Persistent link: https://www.econbiz.de/10012971061
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Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya - 2014
Persistent link: https://www.econbiz.de/10010516044
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Real options approach-based demand forecasting method for a range of products with highly volatile and correlated demand
Huang, Ming-guan - In: European journal of operational research : EJOR 198 (2009) 3, pp. 867-877
Persistent link: https://www.econbiz.de/10003857921
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Invalid proxies and volatility changes
Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024
(ii) the potential failure of instrument exogeneity. We introduce a novel identification strategy that appropriately …
Persistent link: https://www.econbiz.de/10014495778
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Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel - 2020
Persistent link: https://www.econbiz.de/10012488824
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A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
Ejaz, Abdullah; Polak, Petr; Imran, Zulfiqar Ali - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200
Persistent link: https://www.econbiz.de/10012659646
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Moving average models for volatility and correlation, and covariance matrices
Alexander, Carol - 2008
Persistent link: https://www.econbiz.de/10003765837
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Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - In: Economic dynamics : theory, games and empirical studies, (pp. 171-197). 2009
Persistent link: https://www.econbiz.de/10003867880
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Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Ubukata, Masato; Oya, Kosuke - In: Recent advances in financial engineering : proceedings …, (pp. 201-218). 2009
Persistent link: https://www.econbiz.de/10003871191