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Volatility measurement with pockets of extreme return persistence

Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27

Persistent link: https://www.econbiz.de/10014471793

Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA

Dash, Jan - 2016

This is the second paper presenting noise-reduced, stable correlations for long-term risk measurement. We smooth time … correlations have superior time stability and are cleaned of noise. Here we show that the Signal-to-Noise Ratio is larger for the … SSA-based correlations than usual, and we perform other signal/noise tests. We use new results refining random matrix …

Persistent link: https://www.econbiz.de/10012987086

Sensitivity analysis of market and stock returns by considering positive and negative jumps

Theodosiadou, Qurania; Polimenis, Vassilis; Tsaklidis, … - In: Journal of risk finance : the convergence of financial … 17 (2016) 4, pp. 456-472

Persistent link: https://www.econbiz.de/10011572490

Heterogeneous noisy beliefs and dynamic competition in financial markets

Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - In: Economic modelling 54 (2016), pp. 347-363

Persistent link: https://www.econbiz.de/10011642190

Heterogeneous noisy beliefs and dynamic competition in financial markets

Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - 2016

Persistent link: https://www.econbiz.de/10011553079

Fake news

Brigida, Matt; Pratt, William R. - In: The North American journal of economics and finance : a … 42 (2017), pp. 564-573

Persistent link: https://www.econbiz.de/10011938199

When large traders create noise

Glebkin, Sergei; Kuong, John Chi-Fong - In: Journal of financial economics 150 (2023) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10014462587

Endogeneity in Semiparametric Threshold Regression Model With Two Threshold Variables

Chen, Chaoyi; Stengos, Thanasis; Sun, Yiguo - 2021

This paper considers a semiparametric threshold regression model with two threshold variables,extending Chen et al. (2012) and Kourtellos et al. (2021). The proposed model allows the endogeneity for both threshold variables and the slope regressors. Under the diminishing thresholdeffects...

Persistent link: https://www.econbiz.de/10013322934

Intercept estimation in nonlinear selection models

Arulampalam, Wiji; Corradi, Valentina; Gutknecht, Daniel - 2021

We propose various semiparametric estimators for nonlinear selection models, where slope and intercept can be separately identifed. When the selection equation satisfies a monotonic index restriction, we suggest a local polynomial estimator, using only observations for which the marginal...

Persistent link: https://www.econbiz.de/10012518068

Endogeneity in Semiparametric Threshold Regression

Kourtellos, Andros - 2017

In this paper, we investigate semiparametric threshold regression models with endogenous threshold variables based on a nonparametric control function approach. Using a series approximation we propose a two-step estimation method for the threshold parameter. For the regression coefficients, we...

Persistent link: https://www.econbiz.de/10012942196