Narrow search
Showing 51 - 60 of 57,283
Cover Image
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor; Grynkiv, Iaryna; Tauchen, George - Duke University, Department of Economics - 2010
robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra … fitting volatility model is a non-diffusive two-factor model where low activity jumps drive its persistent component and more … active jumps drive the transient one. …
Persistent link: https://www.econbiz.de/10009145722
Cover Image
The Realized Laplace Transform of Volatility
Todorov, Viktor; Tauchen, George - Duke University, Department of Economics - 2010
robust to jumps and when the process is pure-jump it is robust to presence of less active jumps. We apply our results to …
Persistent link: https://www.econbiz.de/10008764954
Cover Image
Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps
Theodosiou, Marina - Central Bank of Cyprus - 2010
financial assets. We analyze results from a Monte Carlo simulation which point to the conclusion that the multitude of jumps …
Persistent link: https://www.econbiz.de/10008682856
Cover Image
The contribution of realized covariance models to the economic value of volatility timing
Bauwens, Luc; Xu, Yongdeng - 2023
Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...
Persistent link: https://www.econbiz.de/10014480607
Cover Image
FloGARCH: Realizing long memory and asymmetries in returns volatility
Vander Elst, Harry - 2015
We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the...
Persistent link: https://www.econbiz.de/10011506800
Cover Image
DCC-HEAVY: A multivariate GARCH model with realized measures of variance and correlation
Xu, Yongdeng - 2019
This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We discuss the models' dynamics and highlight their...
Persistent link: https://www.econbiz.de/10012429985
Cover Image
FloGARCH : realizing long memory and asymmetries in returns volatility
Vander Elst, Harry - 2015
We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the...
Persistent link: https://www.econbiz.de/10011586235
Cover Image
DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation
Xu, Yongdeng - 2019
This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We discuss the models' dynamics and highlight their...
Persistent link: https://www.econbiz.de/10012009351
Cover Image
FloGARCH : Realizing long memory and asymmetries in returns volatility
Elst, Harry Vander - Nationale Bank van België/Banque national de Belqique (BNB) - 2015
We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the...
Persistent link: https://www.econbiz.de/10011272800
Cover Image
The contribution of realized covariance models to the economic value of volatility timing
Bauwens, Luc; Xu, Yongdeng - 2023
Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...
Persistent link: https://www.econbiz.de/10014434629