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Risk-parameter estimation in volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173

Persistent link: https://www.econbiz.de/10011326796

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214

Quantile Regression Estimation of Stock Market Volatility and Its Causes

Oluwapelumi, Alabi - 2017

. In this study, GARCH model was built to generate stock price volatility and quantile regression estimation was used to …Stock market volatility is the amount of uncertainty or risk about the size of changes in stock market security value … determine the cause of volatility in stock market at different quantile level. The study provides the graphical presentation of …

Persistent link: https://www.econbiz.de/10012951319

Generalized jump regressions for local moments

Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025

Persistent link: https://www.econbiz.de/10012653221

Predicting stock return volatility : can we benefit from regression models for return intervals?

Fischer, Henning; Blanco-Fernández, Ángela; Winker, Peter - In: Journal of forecasting 35 (2016) 2, pp. 113-146

Persistent link: https://www.econbiz.de/10011580244

On high frequency estimation of the frictionless price : the use of observed liquidity variables

Chaker, Selma - In: Journal of econometrics 201 (2017) 1, pp. 127-143

Persistent link: https://www.econbiz.de/10011917437

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

Persistent link: https://www.econbiz.de/10011920538

Jump regressions

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

A reexamination of stock return predictability

Choi, Yongok; Jacewitz, Stefan; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 168-189

Persistent link: https://www.econbiz.de/10011617132