Narrow search
Showing 31 - 40 of 57,283
Cover Image
We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics.
BAJGROWICZ, Pierre; SCAILLET, Olivier
in nite samples. In Dow Jones stocks, spurious detections represent up to 50% of the jumps detected initially between … 2006 and 2008. For the majority of stocks, jumps do not cluster in time and no cojump aects all stocks simultaneously …, suggesting jump risk is diversiable. We relate the remaining jumps to macroeconomic news, prescheduled company …
Persistent link: https://www.econbiz.de/10010680442
Cover Image
Tails, Fears and Risk Premia
Bollerslev, Tim; Todorov, Viktor - Duke University, Department of Economics - 2010
We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof we identify and estimate a new Investor Fears index. The index suggests both large and...
Persistent link: https://www.econbiz.de/10008549030
Cover Image
Tails, Fears and Risk Premia
Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009
probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the …
Persistent link: https://www.econbiz.de/10004980201
Cover Image
How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2010
This paper studies the impact of jumps on volatility estimation and inference based on various realised variation … realised variance in the presence of jumps. Next, we compare the finite sample performance of the various estimators by means … of detailed Monte Carlo studies where we study the impact of the jump activity, the jump size of the jumps in the price …
Persistent link: https://www.econbiz.de/10008677230
Cover Image
Inference for the jump part of quadratic variation of Itô semimartingales
Veraart, Almut - School of Economics and Management, University of Aarhus - 2008
multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the …
Persistent link: https://www.econbiz.de/10005440041
Cover Image
Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010333208
Cover Image
Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
Cover Image
Chronicle of a death foretold: Does higher volatility anticipate corporate default?
Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022
We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure computed by Moody's. We look at the predictive...
Persistent link: https://www.econbiz.de/10014374336
Cover Image
Chronicle of a death foretold : does higher volatility anticipate corporate default?
Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022
We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure computed by Moody's. We look at the predictive...
Persistent link: https://www.econbiz.de/10013448706
Cover Image
Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
Bach, Christian; Christensen, Bent Jesper - School of Economics and Management, University of Aarhus - 2011
We include simultaneously both realized volatility measures based on high-frequency asset returns and implied volatilities backed out of individual traded at the money option prices in a state space approach to the analysis of true underlying volatility. We model integrated volatility as a...
Persistent link: https://www.econbiz.de/10008835428