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  1. Financial stress and realized volatility
    the case of agricultural commodities
    Author: Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian
    Published: [2023]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 52
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/593807
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2023, 20 (July 2023)
    Subjects: Realized volatility; Agricultural commodities; Financialization; Realized moments; Predictability
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  2. Forecasting sovereign bond realized volatility using time-varying coefficients model
    Author: Malinska, Barbora
    Published: [2021]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year, 5-year, 10-year and 30-year tenors from 2006 to 2017. We extend heterogeneous autoregressive model by Corsi (2009) by higher-order... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 167
    Inter-library loan:
    No inter-library loan

     

    This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year, 5-year, 10-year and 30-year tenors from 2006 to 2017. We extend heterogeneous autoregressive model by Corsi (2009) by higher-order realized moments and allow all model coefficients to be time-varying in order to explore dynamics in forecasting power of individual predictors across the term structure. We find realized kurtosis to be valuable predictor across the term structure with robust contribution also in out-of-sample analysis for the shorter tenors. Time-varying coefficient models are found to bring significant out-of-sample forecasting accuracy gain at the short end of the term structure. Further, we detect significant asymmetry in forecasting errors present for all the tenors as the constant-coeffi cient models were found to generate systemic under-predictions of future realized volatility.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/247386
    Series: IES working paper ; 2021, 19
    Subjects: Realized moments; Sovereign bonds; Volatility forecasting; High-frequency data; Time-varying coefficients
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen