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Volatility in discrete and continuous time models : a survey with new evidence on large and small jumps

Duong, Diep; Swanson, Norman R. - 2011

variables. We then provide empirical evidence on "small" and "large" jumps from the perspective of their contribution to overall …, Bollerslev and Diebold (2007) and Ai͏̈t-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days … role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a …

Persistent link: https://www.econbiz.de/10009130524

Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

Persistent link: https://www.econbiz.de/10009575075

Recent developments in the econometrics of program evaluation

Imbens, Guido (contributor); … - 2008

Many empirical questions in economics and other social sciences depend on causal effects of programs or policies. In the last two decades much research has been done on the econometric and statistical analysis of the effects of such programs or treatments. This recent theoretical literature has...

Persistent link: https://www.econbiz.de/10003746894

Recent developments in the econometrics of program evaluation

Imbens, Guido (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003752841

A critique of the literature on the US financial debt crisis

Stein, Jerome L. - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10003936616

Empirical Option Pricing Models

Bates, David S. - National Bureau of Economic Research - 2021

This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those...

Persistent link: https://www.econbiz.de/10012794582