Search Results - subject:"fractional VECM"

Level Shifts in Volatility and the Implied-Realized Volatility Relation

Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010

We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the...

Persistent link: https://www.econbiz.de/10008549066

A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility

Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2009

estimator, Long memory, Fractional cointegration, Fractional VECM, Stock Index Futures. J.E.L. classification. C32, C13, G13 … cointegration system outlined in Granger (1986), that is a generalization of the vector ECM. The fractional VECM (FVECM hereafter … in the fractional VECM could improve the forecasts. We evaluate the ac- curacy of our model in forecasting volatility and …

Persistent link: https://www.econbiz.de/10005037433