Narrow search
Showing 111 - 120 of 61,522
Cover Image
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - Duke University, Department of Economics - 2010
We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes … inter-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that … the leverage effect, or asymmetry between returns and volatility, works primarily through the continuous volatility …
Persistent link: https://www.econbiz.de/10008549011
Cover Image
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - School of Economics and Management, University of Aarhus - 2007
We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes …-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that the leverage … effect, or asymmetry between returns and volatility, works primarily through the continuous volatility component. The …
Persistent link: https://www.econbiz.de/10005198864
Cover Image
Financial markets in continuous time
Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2007
This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets...
Persistent link: https://www.econbiz.de/10010708856
Cover Image
Stationary Threshold Vector Autoregressive Models
Grynkiv, Galyna - 2018
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10012913405
Cover Image
International Price Discovery in Stock Markets - A Unique Intensity Based Information Share
Kehrle, Kerstin - 2010
This paper proposes a new information share for price discovery based on Russell's (1999) autoregressive conditional intensity model. While previous studies rely on equally spaced high frequency data, we use the information conveyed by trade intensities to determine a market's contribution to...
Persistent link: https://www.econbiz.de/10013150784
Cover Image
Transmission of Government Default Risk in the Eurozone
Kohonen, Anssi - 2013
The paper develops an easy-to-apply test for contagion. In order to address the main challenge of any contagion test, that of endogeneity, the testing is conducted in the structural vector autoregression (SVAR) framework where we assume the reduced form errors follow a mixed-normal distribution....
Persistent link: https://www.econbiz.de/10013088504
Cover Image
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
Diebold, Francis X.; Yılmaz, Kamil - 2022
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized
Persistent link: https://www.econbiz.de/10014237221
Cover Image
Stationary threshold vector autoregressive models
Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10011895647
Cover Image
Trends and Applications of Machine Learning in Quantitative Finance
Emerson, Sophie - 2019
Recent advances in machine learning are finding commercial applications across many industries, not least the finance industry. This paper focuses on applications in one of the core functions of finance, the investment process. This includes return forecasting, risk modelling and portfolio...
Persistent link: https://www.econbiz.de/10012869358