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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10009767120
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …
Persistent link: https://www.econbiz.de/10012156426
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …
Persistent link: https://www.econbiz.de/10012842441
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A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns
Bekierman, Jeremias - 2019
five New York Stock Exchange traded stocks. The estimation results indicate distinct dynamic patterns for daily and …
Persistent link: https://www.econbiz.de/10012903646
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Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On …
Persistent link: https://www.econbiz.de/10013128856
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Duration and Bond Return Approximation : The Quasi-Convexity Effect
Hallerbach, Winfried G. - 2009
Duration is often applied to relate bond price changes to changes in the yield to maturity (or key interest rates). As … first order approximation. In this paper, we show that knowledge of a bond's duration (or key rate durations) allows a …-at-Risk analyses where duration (and convexity) approximations are used as fast alternatives for full revaluation. Our main …
Persistent link: https://www.econbiz.de/10013158344
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Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Dubrana, Ludovic - 2011
Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
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Modelling Systemic Price Cojumps with Hawkes Factor Models
Bormetti, Giacomo - 2013
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these...
Persistent link: https://www.econbiz.de/10013087635
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …
Persistent link: https://www.econbiz.de/10009579173