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A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10010270808

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009

Persistent link: https://www.econbiz.de/10010303678

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

estimation for time-varying volatilities stems from an asymptotic equivalence of the underlying statistical model to a white … noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10010281562

Asymptotics of asynchronicity

Bibinger, Markus - 2011

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...

Persistent link: https://www.econbiz.de/10010281581

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - 2011

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô …, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in …

Persistent link: https://www.econbiz.de/10010281599

Is consumer confidence an indicator of JSE performance?

Solanki, Kamini; Seetharam, Yudhvir - In: Contemporary Economics 8 (2014) 3, pp. 257-273

While most studies examine the impact of business confidence on market performance, we instead focus on the consumer because consumer spending habits are a natural extension of trading activity on the equity market. This particular study examines investor sentiment as measured by the Consumer...

Persistent link: https://www.econbiz.de/10010436041

Volatility and co-movements of the equity markets in Central Europe: Evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and Environmental Studies (E&ES) 18 (2018) 2, pp. 499-513

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket … relatively narrow and therefore greater caution is highly recommended when interpreting estimation results. …

Persistent link: https://www.econbiz.de/10011984362

Investigating abnormal volatility transmission patterns between emerging and developed stock markets: A case study

Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of Business Economics and Management (JBEM) 21 (2020) 6, pp. 1561-1592

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...

Persistent link: https://www.econbiz.de/10015401521

Challenges in implementing worst-case analysis

Daníelsson, Jón; Ergun, Lerby M.; de Vries, Casper G. - 2018

Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast...

Persistent link: https://www.econbiz.de/10012014502

Tail event driven networks of SIFIs

Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Okhrin, Yarema - 2017

The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses these three aspects. More precisely, our framework captures the risk...

Persistent link: https://www.econbiz.de/10011663445