Skip to main navigation Skip to main content
info(at)avldigital.remove-this.de
Deutsch English
Last searches

Results for *

Displaying results 1 to 17 of 17.

  1. Volatility jumps and the classification of monetary policy announcements
    Author: Gallo, Giampiero M.; Lacava, Demetrio; Otranto, Edoardo
    Published: maggio 2023
    Publisher:  Arkadia, Cagliari

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 673
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788868514693
    Edition: Prima edizione
    Series: Working papers / CRENoS ; 2023, 06
    Subjects: Financial markets; realized volatility; Significant jumps; Monetary policy an- nouncements; Multiplicative Error Model
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  2. The contribution of realized covariance models to the economic value of volatility timing
    Author: Bauwens, Luc; Xu, Yongdeng
    Published: [2023]
    Publisher:  CORE, Louvain-la-Neuve

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

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 203
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2078.1/276764
    Series: LIDAM discussion paper CORE ; 2023, 18
    Subjects: volatility timing; realized volatility; high-frequency data; forecasting
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  3. Realized covariance models with time-varying parameters and spillover effects
    Author: Bauwens, Luc; Otranto, Edoardo
    Published: [2023]
    Publisher:  CORE, Louvain-la-Neuve

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

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 203
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2078.1/277007
    Series: LIDAM discussion paper CORE ; 2023, 19
    Subjects: realized volatility; spillover effect; attenuation effect; time-varying parameters
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  4. High-frequency cross-market trading
    model free measurement and applications
    Author: Dobrev, Dobrislav; Schaumburg, Ernst
    Published: [2017]
    Publisher:  Centre for Econometric Analysis, Cass Business School, London

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Rechte
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: December 30, 2016
    Series: CEA@Cass working paper series ; WP-CEA-2017, 01
    Subjects: High-frequency trading; cross-market activity; lead-lag relationships; liquidity provision,order flow; price impact; price discovery; realized volatility; S&P500; US Treasuries; FXmarkets
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  5. Smooth and abrupt dynamics in financial volatility
    the MS-MEM-MIDAS
    Author: Scaffidi Domianello, Luca; Gallo, Giampiero M.; Otranto, Edoardo
    Published: dicembre 2022
    Publisher:  Arkadia, Cagliari

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 673
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788868514372
    Edition: Prima edizione
    Series: Working papers / CRENoS ; 2022, 05
    Subjects: Short– and Long–Run Components; realized volatility; Multiplicative Error Model; MIDAS; markov switching
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  6. The systemic risk approach based on implied and realized volatility
    Author: Sakowski, Paweł; Sieradzki, Rafał; Ślepaczuk, Robert
    Published: 2023
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Nicht speichern
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2023, 7 = 414
    Subjects: systemic risk; implied volatility; realized volatility; volatility indices; equity index options; market volatility
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  7. A global factor in variance risk premia and local bond pricing
    Author: Kaminska, Iryna; Roberts-Sklar, Matt
    Published: December 2015
    Publisher:  Bank of England, [London]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 576
    Subjects: Affine term structure models; option implied volatility; realized volatility; risk aversion; stochastic discount factor; variance risk premium; volatility forecasting
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  8. A simple model for now-casting volatility series
    Author: Breitung, Jörg; Hafner, Christian M.
    Published: October 2015
    Publisher:  Institut de statistique biostatistique et sciences actuarielles (ISBA), [Louvain-la-Neuve]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 203 (2016,04)
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2078.1/167774
    Series: CORE discussion papers ; 2016, 04
    Discussion paper / Institut de statistique biostatistique et sciences actuarielles ; 2015, 21
    Subjects: EGARCH; stochastic volatility; ARMA; realized volatility; leverage
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  9. Bootstrapping pre-averaged realized volatility under market microstructure noise
    Author: Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour
    Published: May 2017
    Publisher:  IDEI, Institut d'économie industrielle, [Toulouse]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / IDEI, Institut d'économie industrielle ; n. 869
    Subjects: Block bootstrap; high frequency data; market microstructure noise; preaveraging; realized volatility; wild bootstrap
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  10. Bootstrapping pre-averaged realized volatility under market microstructure noise
    Author: Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour
    Published: April 2016
    Publisher:  CIRANO, Centre interuniversitaire de recherche en analyse des organisations, Montréal

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Scientific series / CIRANO, Centre interuniversitaire de recherche en analyse des organisations ; 2016s-25
    Subjects: Block bootstrap; high frequency data; market microstructure noise; preaveraging; realized volatility; wild bootstrap
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  11. Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market)
    Author: Pyrlik, Vladimir; Elizarov, Pavel; Leonova, Aleksandra
    Published: Noember 2021
    Publisher:  Charles University, Center for Economic Research and Graduate Education, Prague

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 823
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788073435202; 9788073446154
    Series: Working paper series / CERGE-EI ; 713
    Subjects: heterogeneous autoregressive model; machine learning; lasso; gradientboosting; random forest; long short-term memory; realized volatility; Russian stockmarket; mixed-frequency data
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  12. Parametric estimation of long memory in factor models
    Author: Ergemen, Yunus Emre
    Published: [2022]
    Publisher:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 564
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2022, 10
    Subjects: Factor models; long memory; conditional sum of squares; principal components analysis; realized volatility
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  13. Construction and visualization of optimal confidence sets for frequentist distributional forecasts
    Author: Harris, David; Martin, Gael M.; Perera, Indeewara; Poskitt, Donald Stephen
    Published: August 2017
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 17, 09
    Subjects: Probabilistic forecasts; asymptotically uniformly most accurate confidence regions; time series models; animated graphics; realized volatility; heterogeneous autoregressive model
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  14. Cryptocurrencies
    a copula based approach for asymmetric risk marginal allocations
    Author: Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad
    Published: [2020]
    Publisher:  Philipps-University Marburg, School of Business and Economics, Marburg

    Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on... more

    Access:
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 102
    Inter-library loan:
    No inter-library loan

     

    Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on the short-term portfolio tail risk contribution of six widely-traded cryptocurrencies. Considering the high volatility dynamics of the cryptocurrency market, realized volatility measures computed from different frames (1m, 5m, 15m, 30m, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR/ES Monte Carlo simulations. Even if results lack data frequency ordinality in terms of out-of-sample goodness, Bitcoin and Litecoin are generally recognized as the safest and riskiest currency respectively on an equally-weighted framework, reflecting how the contribution to portfolio returns is not representative of the real grade of risk diversification.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/234839
    Series: Joint discussion paper series in economics ; no. 2020, 34
    Subjects: cryptocurrency tradiing; tail risk; realized volatility; copula; portfolio optimization
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  15. Option-implied network measures of tail contagion and stock return predictability
    Author: Pedio, Manuela
    Published: [2021]
    Publisher:  BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi, Milano, Italy

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 666
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Bocconi ; n. 154 (January 2021)
    Subjects: connectedness; volatility networks; implied volatility; realized volatility; equity return predictability; spillover risk
    Scope: 1 Online-Ressource (circa 43 Seiten)
  16. Volatility bursts
    a discrete-time option model with multiple volatility components
    Author: Lilla, Francesca
    Published: [2021]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 450
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1336 (June 2021)
    Subjects: volatility bursts; ARG-zero; option pricing; Kalman filter; realized volatility
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  17. The contribution of realized covariance models to the economic value of volatility timing
    Author: Bauwens, Luc; Xu, Yongdeng
    Published: July 2023
    Publisher:  Cardiff Business School, Cardiff University, Cardiff, United Kingdom

    Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms... more

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

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 159
    Inter-library loan:
    No inter-library loan

     

    Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic loss functions, on two datasets. Our empirical results indicate that the (HEAVY-type) models that use realized volatilities yield economic value and significantly surpass the (GARCH) models that use only daily returns for daily and weekly horizons. Among the HEAVY-type models, for a dataset of twenty-nine stocks, those that are specified to capture the heterogeneity of the dynamics of the individual conditional variance processes and to allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that impose the same dynamics to the variance and covariance processes (namely, BEKK-type models), whereas for the dataset of three assets, the different models perform similarly. Finally, using a directly rescaled intra-day covariance to estimate the full-day covariance provides more economic value than using the overnight returns, as the latter tend to yield noisy estimators of the overnight covariance, impairing their predictive capacity.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284182
    Series: Cardiff economics working papers ; no. E2023, 20
    Subjects: volatility timing; realized volatility; high-frequency data; forecasting
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen