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  1. Realized semicovariances
    looking for signs of direction inside the covariance matrix
    Autor*in: Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
    Erschienen: September 5, 2017
    Verlag:  Economic Research Initiatives @ Duke (ERID), Durham, NC

    We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns. Under an asymptotic setting in which the sampling interval goes to zero, we derive the asymptotic properties... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns. Under an asymptotic setting in which the sampling interval goes to zero, we derive the asymptotic properties of the resulting realized semicovariance measures. The first-order asymptotic results highlight how the concordant components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The second-order asymptotics, taking the form of a novel non-central limit theorem, further reveals the fine structure underlying the concordant semicovariances, as manifest in the form of co-drifting and dynamic ``leverage'' type effects. In line with this anatomy, we empirically document distinct dynamic dependencies in the different realized semicovariance components based on data for a large cross-section of individual stocks. We further show that the accuracy of portfolio return variance forecasts may be significantly improved by using the realized semicovariance matrices to ``look inside'' the realized covariance matrices for signs of direction

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: This version: September 5, 2017
    Schriftenreihe: ERID working paper ; number 252
    Economic Research Initiatives at Duke (ERID) Working Paper ; No. 252
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  2. Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
    Autor*in: Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
    Erschienen: April 5, 2016
    Verlag:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: CREATES research paper ; 2016-10
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  3. Exploiting the errors
    a simple approach for improved volatility forecasting
    Autor*in: Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
    Erschienen: 2015
    Verlag:  School of Economics and Management, Aarhus

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: CREATES research paper ; 2015,14
    Umfang: Online-Ressource (49 S.)
  4. From zero to hero: realized partial (co)variances
    Autor*in: Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; Quaedvlieg, Rogier
    Erschienen: [2021]
    Verlag:  Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro, Rio de Janeiro, RJ

    This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 183
    Fernleihe:
    keine Fernleihe

     

    This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized partial (co)variances" allow for multiple thresholds with various locations, rather than the single fixed threshold of zero used in semi (co)variances. We adopt methods from machine learning to choose the thresholds to maximize the out-ofsample forecast performance of time series models based on realized partial (co)variances. We find that in low dimensional settings it is hard, but not impossible, to improve upon the simple fixed threshold of zero. In large dimensions, however, the zero threshold embedded in realized semi covariances emerges as a robust choice.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/249720
    Schriftenreihe: Texto para discussão / PUC Rio, Departamento de Economia ; no. 672
    Schlagworte: High-frequency data; realized variation; volatility forecasting
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  5. Macro and micro of external finance premium and monetary policy transmission
    Autor*in: Altavilla, Carlo; Gürkaynak, Refet S.; Quaedvlieg, Rogier
    Erschienen: [2024]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We establish basic facts about the external finance premium. Tens of millions of individual loan contracts extended to euro area firms allow studying the determinants of the external finance premium at the country, bank, firm, and contract levels of... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    We establish basic facts about the external finance premium. Tens of millions of individual loan contracts extended to euro area firms allow studying the determinants of the external finance premium at the country, bank, firm, and contract levels of disaggregation. At the country level, the variance in the premium is closely linked to sovereign spreads, which are important in understanding financial amplification mechanisms. However, country level differences only explain half of the total variance. The rest is predominantly attributed to variances at the bank and firm levels, which are influenced by the respective balance sheet characteristics. Studying the response of the external finance premium to monetary policy, we find that balance sheet vulnerabilities of banks and firms strengthen the transmission of policy measures to financing conditions. Moreover, our findings reveal an asymmetrical effect contingent upon the sign and type of the policies. Specifically, policy rate hikes and quantitative easing measures exert a more pronounced impact on lending spreads, further magnified through their repercussions on the external finance premium.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289966825
    Weitere Identifier:
    hdl: 10419/297374
    Schriftenreihe: Working paper series / European Central Bank ; no 2934
    Schlagworte: External finance premium; financial accelerator; euro area; loan pricing
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  6. Macro and micro of external finance premium and monetary policy transmission
    Autor*in: Altavilla, Carlo; Gürkaynak, Refet S.; Quaedvlieg, Rogier
    Erschienen: 05 May 2024
    Verlag:  Centre for Economic Policy Research, London

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    Standort:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Standort:
    Universitätsbibliothek Mannheim
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    Standort:
    Universität Potsdam, Universitätsbibliothek
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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP19044
    Schlagworte: External finance premium; financial accelerator; euro area; loanpricing
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen