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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018
nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …
Persistent link: https://www.econbiz.de/10011775136
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Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models
Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8
The ınvestment decisions of institutional and individual investors in financial markets are largely influenced by market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of the prices and returns of the investment instruments...
Persistent link: https://www.econbiz.de/10014382180
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High frequency vs. daily resolution : the economic value of forecasting volatility models
Lilla, Francesca - 2016
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011730304
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Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables
Sizova, Natalia - 2013
The predictability of long-term asset returns increases with the time horizon as estimated in regressions of aggregated-forward returns on aggregated-backward predictive variables. This previously established evidence is consistent with the presence of common slow-moving components that are...
Persistent link: https://www.econbiz.de/10013094461
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Time-Varying Predictability of the Long Horizon Equity Premium Based on Semiparametric Regressions
Yu, Deshui; Li, Chen; Li, Luyang - 2023
illustrates that the nonparametric estimation method works well in finite and large samples. Empirically, the predictability of …
Persistent link: https://www.econbiz.de/10014258471
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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 … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …
Persistent link: https://www.econbiz.de/10011568279
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Nonparametric Estimation and Testing for Instability of Discount Rate and Cash Flow Channels of Stock Returns
Yu, Deshui; Xu, Xiu; Chen, Li; Li, Luyang - 2023
According to the log-linear return approximation, the ability of a predictor to predict future stock returns may arise from its ability to predict either the cash flows or the discount rates, or both. This paper introduces novel nonparametric approaches for estimating and testing the time...
Persistent link: https://www.econbiz.de/10014351244
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Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young - 2020
duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi …
Persistent link: https://www.econbiz.de/10012855793