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Disentangling Continuous Volatility From Jumps in Long-Run Risk-Return Relationships

Jacquier, Eric - 2013

Realized variance can be broken down into continuous volatility and jumps. We show that these two components have very … different predictive powers on future long-term excess stock market returns. While continuous volatility is a key driver of … volatility and future returns. Two by-products of our analysis are that imposing model-based constraints on long term regressions …

Persistent link: https://www.econbiz.de/10013080671

Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach

Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...

Persistent link: https://www.econbiz.de/10012697796

Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting

Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633

Persistent link: https://www.econbiz.de/10012792858

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Modelling returns in US housing prices : you're the one for me, fat tails

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

In this paper, we analysed the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data from...

Persistent link: https://www.econbiz.de/10012794370

Tail risk of equity returns

Sun, Pengfei - 2013

Persistent link: https://www.econbiz.de/10010191614

Do jumps contribute to the dynamics of the equity premium

Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei - In: Journal of financial economics 110 (2013) 2, pp. 457-477

Persistent link: https://www.econbiz.de/10010208659

Forecasting value-at-risk using high-frequency information

Huang, Huiyu; Lee, Tae-hwy - In: Econometrics : open access journal 1 (2013) 1, pp. 127-140

In the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (using forecasts generated from returns sampled...

Persistent link: https://www.econbiz.de/10009776365

The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns

Diavatopoulos, Dean; Doran, James S.; Fodor, Andy; … - In: Journal of banking & finance 36 (2012) 3, pp. 786-802

Persistent link: https://www.econbiz.de/10009540475

On the dependence structure of realized volatilities

Mendes, Beatriz Vaz de Melo; Accioly, Victor Bello - In: International review of financial analysis 22 (2012), pp. 1-9

Persistent link: https://www.econbiz.de/10010219700