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Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo; Kang, Kyu Ho - In: Journal of empirical finance 72 (2023), pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
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A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
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Modeling dependency of volatility on sampling frequency via delay equations
Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 11 (2016) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10011685676
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On the predictive ability of conditional market skewness
Serna, Gregorio - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 186-191
Persistent link: https://www.econbiz.de/10014461560
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Modelling Dependency of Volatility on Sampling Frequency via Delay Equations
Luong, Chuong - 2016
The paper studies the impact of the sampling frequency on the volatility of financial time series. We suggest to model … the dependence of volatility on sampling frequency via delay equations for the underlying prices. It appears that these … equations allow to model the price processes with volatility that increases when the sampling rates increase. In addition, these …
Persistent link: https://www.econbiz.de/10013006683
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Empirical evidences on the interconnectedness between sampling and asset returns' distributions
Orlando, Guiseppe; Bufalo, Michele - In: Risks : open access journal 9 (2021) 5, pp. 1-35
The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling …. Finally, we show how sampling and distribution of returns are strictly connected. This is of great importance as, for example …
Persistent link: https://www.econbiz.de/10012596311
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014252427
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Modeling and forecasting return jumps using realized variation measures
Liu, Yi; Liu, Huifang; Zhang, Lei - In: Economic modelling 76 (2019), pp. 63-80
Persistent link: https://www.econbiz.de/10012198262
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Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
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Modelling returns in US housing prices : you're the one for me, fat tails
Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17
In this paper, we analysed the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data from...
Persistent link: https://www.econbiz.de/10012794370