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Let's get LADE : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

Persistent link: https://www.econbiz.de/10009719116

Estimation of a Nonparametric model for Bond Prices from Cross-section and Time series Information

Koo, Bonsoo - 2019

We develop estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing of coupon-paying government bonds followed over many time periods. We use our model to estimate the discount function and yield curve of nominally riskless government bonds. The...

Persistent link: https://www.econbiz.de/10012891762

The Risk of Beta – Investor Learning and Prospect Theory

Baur, Dirk G. - 2010

Investors show different behaviour in falling markets and in rising markets. This paper demonstrates that the beta of individual stocks varies across the entire return distribution and that the variation depends on the frequency of the returns. While there is a symmetric u-shape increase for...

Persistent link: https://www.econbiz.de/10013148953

Random coefficients in static games of complete information

Dunker, Fabian; Hoderlein, Stefan; Kaido, Hiroaki - 2013

sample behaviour in a numerical study. Finally, we discuss several extensions, like the semiparametric case, or correlated …

Persistent link: https://www.econbiz.de/10009725714

Realized copula

Fengler, Matthias R.; Okhrin, Ostap - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10009537332

A Spot Price's Model for Electricity in the Colombian Market Using Markov Chains and Mean Reversion - An Approach for Including the ENSO Effects on Prices

Diaz-Hoyos, Gonzalo - 2011

For many countries located around the equatorial region, climate phenomenon such as El Niño southern oscillation or ENSO has enormous impact on their economies. In the case of countries with a high degree of dependency on water resources for energy generation, the impact of ENSO has been...

Persistent link: https://www.econbiz.de/10013130676

Generalized Affine Models

Feunou, Bruno - 2009

Affine models are very popular in modeling financial time series as they allow for analytical calculation of prices of financial derivatives like treasury bonds and options. The main property of affine models is that the conditional cumulant function, defined as the logarithmic of the...

Persistent link: https://www.econbiz.de/10012718421

Semiparametric Inference in a GARCH-in-Mean Model

Christensen, Bent Jesper - 2008

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … consistent, asymptotically normal, and efficient, i.e. it achieves the semiparametric lower bound. A sampling experiment provides … evidence on finite sample properties as well as comparisons with the fully parametric approach and the iterative semiparametric …

Persistent link: https://www.econbiz.de/10012723279

Managing Risk with a Realized Copula Parameter

Fengler, Matthias R. - 2016

A dynamic copula model is introduced, in which the copula structure is inferred from the realized covariance matrix estimated from within-day high-frequency data. The estimation is carried out in a method-of-moments fashion using Hoeffding's lemma. Applying this procedure day by day gives rise...

Persistent link: https://www.econbiz.de/10013008110

Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and Us Head of Portfolio Construction Teams

Malhotra, Yogesh - 2022

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

Persistent link: https://www.econbiz.de/10013403261