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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Brauchler, Ryan - 2012
estimator of conditional mean and volatility used in the conditional heteroskedastic autoregressive nonlinear (CHARN) model …
Persistent link: https://www.econbiz.de/10013100621
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Yield Curve Modeling and Forecasting Using Semiparametric Factor Dynamics
Härdle, Wolfgang - 2017
on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed …
Persistent link: https://www.econbiz.de/10012966309
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Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha; Linton, Oliver - 2019
We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected return of the stock market and its conditional variance due to the latency of these conditional moments. We use intra-period returns to construct a nonparametric proxy for the...
Persistent link: https://www.econbiz.de/10012128650
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Dissecting characteristics nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10011888693
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Semiparametric conditional quantile models for financial returns and realized volatility
Žikeš, Filip; Jozef, Baruník - 2014
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with … various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the exible quantile … regressions for returns and heterogenous quantile autoregressions for realized volatility perform very well in capturing the …
Persistent link: https://www.econbiz.de/10010407475
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Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
Zikes, Filip - 2017
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with … various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile … regressions for returns and heterogenous quantile autoregressions for realized volatility perform very well in capturing the …
Persistent link: https://www.econbiz.de/10012974069
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Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility
Delatola, Eleni-Ioanna - 2011
This paper presents a method for Bayesian nonparametric analysis of the return distribution in a stochastic volatility … series and two stock index return series. We find that estimates of volatility using the model can differ dramatically from …
Persistent link: https://www.econbiz.de/10013133054
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Estimation of Jump Tails
Bollerslev, Tim - 2011
variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …
Persistent link: https://www.econbiz.de/10013133664
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Identifying Jumps in Financial Assets : A Comparison between Nonparametric Jump Tests [Extended Version]
Dumitru, Ana-Maria H. - 2011
volatility, persistence in volatility, degree of contamination with microstructure noise, jump size and intensity. The overall …
Persistent link: https://www.econbiz.de/10013119580
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Estimation of Jump Tails
Bollerslev, Tim - 2010
variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …
Persistent link: https://www.econbiz.de/10013144212