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Displaying results 1 to 10 of 10.

  1. Roughness in spot variance?
    a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
    Author: Bolko, Anine E.; Christensen, Kim; Pakkanen, Mikko S.; Veliyev, Bezirgen
    Published: [2020]
    Publisher:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 564
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2020, 12
    Subjects: GMM estimation; realized variance; rough volatility; stochastic volatility
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  2. Are CEOs paid extra for riskier pay packages?
    Author: Albuquerque, Ana; Albuquerque, Rui; Carter, Mary Ellen; Dong, Flora
    Published: 01 September 2020
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP15243
    Subjects: CEO pay; incentives; contract theory; risk aversion; moral hazard; participation constraint; realized variance; ARCH; Incentive Lab
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  3. A machine learning approach to volatility forecasting
    Author: Christensen, Kim; Siggaard, Mathias Voldum; Veliyev, Bezirgen
    Published: [2021]
    Publisher:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2021, 03
    Subjects: Gradient boosting; high-frequency data; machine learning; neural network; random forest; realized variance; regularization; volatility forecasting
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  4. Cointegrated portfolios and volatility modeling in the cryptocurrency market
    Author: Gabriel, Stefan; Kunst, Robert M.
    Published: [2024]
    Publisher:  Institut für Höhere Studien - Institute for Advanced Studies (IHS), Wien

    We examine two major topics in the field of cryptocurrencies. On the one hand, we investigate possible long-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at... more

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    We examine two major topics in the field of cryptocurrencies. On the one hand, we investigate possible long-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at constructing cointegrated portfolios that enable statistical arbitrage. Moreover, we find evidence for a connection between market volatility and the spread used for trading. The results of the trading strategies suggest that cointegrated portfolios based on the Johansen procedure generate the highest abnormal log-returns, both in-sample and out-of-sample. Five out of six trading strategies generate a positive overall profit and outperform a passive investment approach out-of-sample. The second part of the econometric analysis explores Granger causality between volatility and the spread. For this analysis, we implement two types of forecasting models for Bitcoin volatility: the GARCH (generalized autoregressive conditional heteroskedasticity) family using daily price data and the HAR (Heterogeneous AutoRegressive) model family based on 5-min high-frequency data. In both categories, we also consider potential jumps in the price series, as we found that price jumps play an important role in Bitcoin volatility forecasts. The findings indicate that the realized GARCH model is the only GARCH model that can compete against the HAR-RV (Heterogeneous Autoregressive Realized Volatility) model in out-of-sample forecasting.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/286589
    Series: IHS working paper ; 52 (March 2024)
    Subjects: cryptocurrencies; bitcoin volatility; realized variance; jump variation; cointegrated portfolios; statistical arbitrage
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  5. Macro-financial linkages in the high-frequency domain
    the effects of uncertainty on realized volatility
    Author: Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, Stavroula
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats... more

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    This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it extends the HEAVY framework with powers, leverage, and macro effects that improve its forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main drivers of US and UK financial volatility alongside global credit and commodity factors.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/215002
    Series: Array ; no. 8000 (December 2019)
    Subjects: asymmetries; economic policy uncertainty; HEAVY model; high-frequency data; macro-financial linkages; power transformations; realized variance; risk management
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  6. Realized Copula
    Author: Fengler, Matthias R.; Okhrin, Ostap
    Published: 2012
    Publisher:  Humboldt-Universität zu Berlin, Berlin

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Subjects: Kapitalertrag; Kopula <Mathematik>; Zeitreihenanalyse; Varianzanalyse; Theorie
    Other subjects: (stw)Kapitaleinkommen; (stw)Multivariate Verteilung; (stw)Zeitreihenanalyse; (stw)Varianzanalyse; (stw)Theorie; realized variance; realized covariance; realized copula; multivariate dependence; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
    Notes:

    In: Sonderforschungsbereich 649: Ökonomisches Risiko, Band 2012, Ausgabe 34, 2012
  7. Observation-driven models for realized variances and overnight returns
    Author: Opschoor, Anne; Lucas, André
    Published: [2019]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact of... more

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    We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact of incidental large observations. Applying our new model to 100 stocks of the S&P 500 during the period 2001-2014 and evaluating (in-sample and out-of-sample) in terms of Value-at-Risk and Expected Shortfall, we find our model outperforms alternatives like the HEAVY model that uses close-to-close returns and realized variances, and models treating close-to-open en open-to-close returns as separate processes. Results also indicate that the ratio between total and open-to-close volatility changes substantially through time, especially for financial stocks.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/205342
    Edition: This version: July 23, 2019
    Series: Array ; TI 2019, 052
    Subjects: overnight volatility; realized variance; F distribution; score-driven dynamics
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  8. Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
    Author: Herrmann, Klaus; Teis, Stefan; Yu, Weijun
    Published: 2014
    Publisher:  Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung, Erlangen

    The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to... more

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    The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive pattern, a seasonal pattern, long-term memory and scheduled data releases. These components are analyzed in detail. Some evidence for two additional components, market microstrucuture events and unscheduled news, is given. Depending on the sampling frequency we estimate that between one and two thirds of the variation in realized volatility can be predicted by a simple linear model based on the components identified. It is shown how the predictive power of the different components depends on sampling frequencies.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/105257
    Series: IWQW discussion paper series ; 15/2014
    Subjects: Volatility; realized variance; intraday seasonality; volatility prediction; high-frequency data; tick data; fractional integration; sampling frequency
    Scope: Online-Ressource (29 S.), graph. Darst.
  9. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
    Author: Barunik, Jozef; Vácha, Lukáš
    Published: 2014
    Publisher:  Univ., Kiel

    We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized... more

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    We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance framework, we are able to utilize all available data and get feasible estimator in the presence of microstructure noise as well. The estimator is tested in a large numerical study of the finite sample performance and is compared to other popular realized variation estimators. We use different simulation settings with changing noise as well as jump level in different price processes including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is able to estimate and forecast the realized measures with the greatest precision. Our timefrequency estimators not only produce feasible estimates, but also decompose the realized variation into arbitrarily chosen investment horizons. We apply it to study the volatility of forex futures during the recent crisis at several investment horizons and obtain the results which provide us with better understanding of the volatility dynamics.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/102280
    Series: Finmap-working paper / Finmap Research Office ; 16
    Subjects: quadratic variation; realized variance; jumps; market microstructure noise; wavelets
    Scope: Online-Ressource (34 S.), graph. Darst.
  10. Leverage effect in energy futures
    Author: Kristoufek, Ladislav
    Published: 2014
    Publisher:  Univ., Kiel

    We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After... more

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    We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long-term dependent with the Hurst exponent on a verge of stationarity and non-stationarity. To overcome such complication, we utilize the detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage effect for both crude oils and heating oil. For natural gas, we find the inverse leverage effect. Additionally, we report that the strength of the leverage effects is scale-dependent. Finally, we also show that none of the effects between returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance forecasting models and mainly in the risk management and portfolio diversification.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/102281
    Series: Finmap-working paper / Finmap Research Office ; 17
    Subjects: quadratic variation; realized variance; jumps; market microstructure noise; wavelets
    Scope: Online-Ressource (23 S.), graph. Darst.