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We introduce a Mixed-Frequency Factor Model (MFFM) to estimate vast dimensional covari- ance matrices of asset returns. The MFFM uses high-frequency (intraday) data to estimate factor (co)variances and idiosyncratic risk and low-frequency (daily) data to estimate the factor loadings. We propose...
Persistent link: https://www.econbiz.de/10010730865
In this paper, we demonstrate that jumps in financial asset prices are not nearly as common as generally thought, and that they account for only a very small proportion of total return variation. We base our investigation on an extensive set of ultra high-frequency equity and foreign exchange...
Persistent link: https://www.econbiz.de/10009024917
Equity returns and firm's default probability are strictly interrelated financial measures capturing the credit risk profile of a firm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a firm within Merton [17]...
Persistent link: https://www.econbiz.de/10010734984
Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson (1980) we replace each squared intra-day return by the high-low range for that period to create a novel and more efficient estimator called the...
Persistent link: https://www.econbiz.de/10010837783
In this paper prediction-based estimating functions (PBEFs), introduced in Sørensen (2000), are reviewed and PBEFs for the Heston (1993) stochastic volatility model are derived. The finite sample performance of the PBEF based estimator is investigated in a Monte Carlo study, and compared to the...
Persistent link: https://www.econbiz.de/10010851259
Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson (1980) we replace each squared intra-day return by the high-low range for that period to create a novel and more efficient estimator called the...
Persistent link: https://www.econbiz.de/10004972248
Asymptotic properties of jump tests rely on the property that any jump occurs within a single time interval no matter what the observation frequency is. Market microstructure effects in relation to news-induced revaluation of the underlying variable is likely to make this an unrealistic...
Persistent link: https://www.econbiz.de/10005198862
In Japanese stock markets, there are two kinds of breaks, i.e., nighttime and lunch break, where we have no trading, entailing inevitable increase of variance in estimating daily volatility via naive realized variance (RV). In order to perform a much more stabilized estimation, we are concerned...
Persistent link: https://www.econbiz.de/10005675542
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