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Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 1997
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …
Persistent link: https://www.econbiz.de/10012472795
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A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1
Basak, Gopal K. - 2004
We develop a jackknife estimator for the conditional variance of a minimum-tracking- error-variance portfolio constructed using estimated covariances. We empirically evaluate the performance of our estimator using an optimal portfolio of 200 stocks that has the lowest tracking error with respect...
Persistent link: https://www.econbiz.de/10012468246
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Practical Volatility and Correlation Modeling for Financial Market Risk Management
Andersen, Torben G. - 2005
practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we …
Persistent link: https://www.econbiz.de/10012467618
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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2000
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...
Persistent link: https://www.econbiz.de/10012471288
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K. C. - 1999
-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …
Persistent link: https://www.econbiz.de/10012471761
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The Common Origin of Uncertainty Shocks
Kozeniauskas, Nicholas - 2016
Various types of uncertainty shocks can explain many phenomena in macroeconomics and finance. But does this just amount to inventing new, exogenous, unobserved shocks to explain challenging features of business cycles? This paper argues that three conceptually distinct fluctuations, all called...
Persistent link: https://www.econbiz.de/10012456293
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A Multivariate Model of Strategic Asset Allocation
Campbell, John Y. - 2001
Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method...
Persistent link: https://www.econbiz.de/10012470152
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Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021
explore the stability of the fractionally cointegrating relation between implied- and realized volatility (IV and RV …
Persistent link: https://www.econbiz.de/10012496124
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Local Projections vs. VARs : Lessons From Thousands of DGPs
Li, Dake; Plagborg-Møller, Mikkel; Wolf, Christian - National Bureau of Economic Research - 2022
We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse …
Persistent link: https://www.econbiz.de/10013334425
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On the Relationship Between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach
Brandt, Michael W. - 2002
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study … although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due …
Persistent link: https://www.econbiz.de/10012469657