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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

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

Comfort: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - 2013

EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

Persistent link: https://www.econbiz.de/10010256409

Decomposing the VIX : Implications for the Predictability of Stock Returns

Chow, Victor - 2020

The VIX index is not only a volatility index but also a polynomial combination of all possible higher moments in market return distribution under the risk-neutral measure. This paper formulates the VIX as a linear decomposition of four fundamentally different elements: the realized variance...

Persistent link: https://www.econbiz.de/10012855651

Stock Market Return Predictability Before and After the Dodd-Frank Act

Casas, Isabel - 2020

We analyze the stock market return predictability for three different periods. We evaluate the conditional variance (CV) and the variance risk premium (VRP) as predictors of stock market returns for which we are using well-established versions of the heterogeneous auto-regressive (HAR) model and...

Persistent link: https://www.econbiz.de/10012832030

News Sentiment, Factor Models and Abnormal Stock Returns

Borovkova, Svetlana - 2015

This paper investigates how stock-specific and market-wide news sentiments, obtained from Thomson Reuters News Analytics, affect abnormal returns of S&P 500 stocks. It is well-known that the relationships between the stock-specific news sentiment and raw stock returns are rather weak. This can...

Persistent link: https://www.econbiz.de/10013011292

Intangible Assets and Cross-Sectional Stock Returns : Evidence from Structural Estimation

Li, Erica X. N. - 2015

framework. The structural estimation of the model leads to four main results. First, the q-theory augmented with intangible …The relation between a firm's stock return and its intangible assets is derived under the intangible-asset-augmented q-theory … conventional q-theory. Two features of intangible assets, adjustment costs and investment-specific-technological-change, are …

Persistent link: https://www.econbiz.de/10013039105

Evidence of Stock Returns and Abnormal Trading Volume : A Quantile Regression Approach

Chen, Cathy W. S. - 2015

This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace distribution to six daily Dow Jones Industrial stocks,...

Persistent link: https://www.econbiz.de/10013029438