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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Security market imperfections in worldwide equity markets

Keim, Donald B. (contributor); … - 2000

Persistent link: https://www.econbiz.de/10000968945

Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper

Strohsal, Till; Weber, Enzo - 2013

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

Persistent link: https://www.econbiz.de/10010339937

Volatility : risk and uncertainty in financial markets

Schwartz, Robert A. (contributor); … - 2011

Persistent link: https://www.econbiz.de/10008760187

Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]

Meddahi, Nour (contributor); Mykland, Per A. (contributor); … - 2010

Persistent link: https://www.econbiz.de/10009244600

The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper

Leppin, Julian Sebastian - 2014 - This version: February 2014

This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...

Persistent link: https://www.econbiz.de/10010480543