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A dynamic model of the financial real Interaction as a model selection criterion for nonparametric stock market prediction

Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2005

time series are often built upon nonparametric, i.e. universal nonlinear, univariate relationships. Empirical … nonlinear case is still in its infancy we would like to suggest the application of economic model selection criteria. It is a … models. Therefore, conditions of economic models are imposed on the embedded nonlinear dynamical system to be estimated …

Persistent link: https://www.econbiz.de/10005858892

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gençay, Ramazan; Whitcher, Brandon; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

Persistent link: https://www.econbiz.de/10005859005

Extreme value theory and Value-at-Risk : Relative performance in emerging markets

Gençay, Ramazan; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...

Persistent link: https://www.econbiz.de/10005859080

Scaling, Self-Similarity and Multifractality in FX Markets

Gençay, Ramazan; Xu, Zhaoxia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper presents an empirical investigation of scaling and multifractal properties of U.S. Dollar-Deutschemark (USD-DEM) returns. The data set is ten years of 5-minute returns. The cumulative return distributions of positive and negative tails at di.erent time intervals are linear in the...

Persistent link: https://www.econbiz.de/10005859081

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - 2008

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...

Persistent link: https://www.econbiz.de/10003742083

Forecasting exchange rate volatility in the presence of jumps

Busch, Thomas (contributor); … - 2005

We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...

Persistent link: https://www.econbiz.de/10003795291

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper (contributor); … - 2005

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Persistent link: https://www.econbiz.de/10003795292

Threshold bipower variation and the impact of jumps on volatility forecasting

Corsi, Fulvio; Pirino, Davide; Renò, Roberto - 2010

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not...

Persistent link: https://www.econbiz.de/10008729093

A stochastic volatility model with conditional skewness

Feunou, Bruno; Tédongap, Roméo - 2011

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

Persistent link: https://www.econbiz.de/10009309462

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003 - This version: September 2003

A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...

Persistent link: https://www.econbiz.de/10009764770