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Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - 2009

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

Persistent link: https://www.econbiz.de/10010307938

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2009

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

Persistent link: https://www.econbiz.de/10009646422

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Hafner, Christian M. - 2010

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

Persistent link: https://www.econbiz.de/10013148178

Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of … discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …

Persistent link: https://www.econbiz.de/10010477582

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data

Dungey, Mardi H. - 2019

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically...

Persistent link: https://www.econbiz.de/10012903285

Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications

Escanciano, Juan Carlos - 2007

This article proposes a general class of joint and marginal diagnostic tests for parametric conditional mean and variance models of possibly nonlinear non-Markovian time series sequences. The use of joint and marginal tests is motivated from the fact that marginal tests for the conditional...

Persistent link: https://www.econbiz.de/10012729924

Nonparametric Inference of Jump Autocorrelation

Kwok, Simon - 2020

Understanding the jump dynamics of market prices is important for asset pricing and risk management. Despite their analytical tractability, parametric models may impose unrealistic restrictions on the temporal dependence structure of jumps. In this paper, we introduce a nonparametric inference...

Persistent link: https://www.econbiz.de/10012824843

News Arrival, Time-Varying Jump Intensity, and Realized Volatility : Conditional Testing Approach

Erdemlioglu, Deniz; Yang, Xiye - 2022

press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility … exploits the behavior of a time-varying stochastic intensity and allows us to assess how intensely stock market reacts to news … increases in realized volatility and arrive when differences-in-opinion among market participants are large at times of FOMC …

Persistent link: https://www.econbiz.de/10013406297

Change-Point Detection in the Covariance Structure of Multivariate Volatility Models

Barassi, Marco R. - 2017

We propose semi-parametric CUSUM tests to detect a change point in the covariance structure of non-linear multivariate models with dynamically evolving volatilities and correlations. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the...

Persistent link: https://www.econbiz.de/10012945121

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

Persistent link: https://www.econbiz.de/10010271381