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Risk, return, and volatility feedback: A Bayesian nonparametric analysis

Jensen, Mark J.; Maheu, John M. - 2014

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for …

Persistent link: https://www.econbiz.de/10010397700

Forecasting Aggregate Productivity using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltan - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10010325710

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang Karl; Mungo, Julius - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

Persistent link: https://www.econbiz.de/10010274129

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John; Amisano, Gianni - 2007

-year bonds. We compare the performance of the model with ARCH and stochastic volatility models using predictive likelihoods. The …

Persistent link: https://www.econbiz.de/10011604877

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang Karl; Mungo, Julius - 2008

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10010274140

Prognose mit nichtparametrischen Verfahren

Härdle, Wolfgang Karl; Schulz, Rainer; Wang, Weining - 2010

Statistische Prognosen basieren auf der Annahme, dass ein funktionaler Zusammenhang zwischen der zu prognostizierenden Variable y und anderen j-dimensional beobachtbaren Variablen x = (x1,...xl) besteht. Kann der funktionale Zusammenhang geschätzt werden, so kann im Prinzip für jedes x der...

Persistent link: https://www.econbiz.de/10010281577

A sustainability transition on the move? Evidence based on the disconnect from market fundamentals

Alessi, Lucia; Hirschbühl, Dominik; Rossi, Alessandro - 2022

In a context where European stock prices have been trending upwards, one of the main concerns is that stocks perceived as more sustainable from an environmental, social and governance (ESG) perspective could be particularly exposed to exuberance. To shed some light on the magnitude of the...

Persistent link: https://www.econbiz.de/10014278471