Similar Search Results

Factor High-Frequency Based Volatility (HEAVY) Models

Sheppard, Kevin - Department of Economics, Oxford University - 2014

We propose a new class of multivariate volatility models utilizing realized measures of asset volatility and …

Persistent link: https://www.econbiz.de/10011004389

World Scientific Publishing Co. Pte. Ltd.

<i>Global Credit Review</i> is an annual publication that provides an overview of the most important developments in global credit markets and the regulatory landscape. The third volume provides some critical analysis, reviews the introduction of new regulations and also offers new insights to address...

Persistent link: https://www.econbiz.de/10011010986

Financial volatility and time-varying risk premia

Hördahl, Peter - 1997

Persistent link: https://www.econbiz.de/10004351979

Which are the SIFIs? A Component Expected Shortfall approach to systemic risk

Banulescu, Georgiana-Denisa; Dumitrescu, Elena-Ivona - In: Journal of Banking & Finance 50 (2015) C, pp. 575-588

This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall) while accounting for the firm characteristics. Developed by analogy with the Component Value-at-Risk concept, our new systemic risk...

Persistent link: https://www.econbiz.de/10011118060

Forecasting gains of robust realized variance estimators: evidence from European stock markets

Sharma, Prateek; Sharma, Swati - In: Economics Bulletin 35 (2015) 1, pp. 61-69

examines the benefits of using RRV estimators instead of the RV estimator, in the context of volatility forecasting. The …

Persistent link: https://www.econbiz.de/10011199668

Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange

Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014

over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit … analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is …

Persistent link: https://www.econbiz.de/10010945126