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Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets
Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26
purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for …In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …
Persistent link: https://www.econbiz.de/10012548334
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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …
Persistent link: https://www.econbiz.de/10012023869
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Classical and Bayesian estimation of volatility in the Black-Scholes model
Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 237-262
volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation …The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for …
Persistent link: https://www.econbiz.de/10014494469
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Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?
Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44
-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …
Persistent link: https://www.econbiz.de/10011471089
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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...
Persistent link: https://www.econbiz.de/10012042424
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Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk
Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de/10012598456
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Spillover dynamics effects between risk-neutral equity and Treasury volatilities
González-Urteaga, Ana; Nieto, Belén; Rubio, Gonzalo - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 4, pp. 663-708
equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government …
Persistent link: https://www.econbiz.de/10013459960
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...
Persistent link: https://www.econbiz.de/10014433708
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Analysing stock market data : market sentiment approach and its measures
Moseki, K. K.; Rao, K. S. Madhava - In: Cogent economics & finance 5 (2017) 1, pp. 1-15
between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of …
Persistent link: https://www.econbiz.de/10011884554
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Classical and Bayesian estimation of volatility in the Black-Scholes model
Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 237-262
volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation …The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for …
Persistent link: https://www.econbiz.de/10013486201