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The article evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for ²-mixing processes and EDF-based tests for the residuals of such nonlinear dependent...
Persistent link: https://www.econbiz.de/10012755625
Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a much neglected issue pertaining to fundamental shifts in the structural parameters governing default. We propose formal quality control procedures...
Persistent link: https://www.econbiz.de/10012713209
We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed by Foster and Nelson (1996) for estimating the quadratic variation of asset returns, which is also referred to as integrated or realized volatility. The new approach treats...
Persistent link: https://www.econbiz.de/10012713598
The paper evaluates the performance of several recently proposed tests for structural breaks in conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data-driven volatility estimators using high-frequency data. In addition to...
Persistent link: https://www.econbiz.de/10012713599
We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed by Foster and Nelson (1996) for estimating the quadratic variation of asset returns, which is also referred to as integrated or realized volatility. The new approach treats...
Persistent link: https://www.econbiz.de/10012755902
Hint: these are not the Fama-French 3 factors and they are not even spanned by the Fama-French 5 factors. More importantly, they feature superior out-of-sample pricing performance compared to standard asset pricing models. What is “common” about these factors? We identify the factor space...
Persistent link: https://www.econbiz.de/10013292065
Persistent link: https://www.econbiz.de/10014336139
Persistent link: https://www.econbiz.de/10013184880
This paper presents an innovative approach to extracting factors which are shown to predict the VIX, the S&P 500 Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we extract factors from panels of filtered volatilities - in...
Persistent link: https://www.econbiz.de/10013045628
Factor analysis is a widely used tool to summarize high dimensional panel data via a small dimensional set of latent factors. Applications, particularly in finance, are often focused on observable factors with an economic interpretation. The objective of this paper is to provide a formal test...
Persistent link: https://www.econbiz.de/10014257748