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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

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

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

Sharma, Prateek; Sharma, Swati - In: Economics Bulletin 34 (2014) 4, pp. 2377-2386

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/10011039042

The Changing Nature Of Market Risk

FRANZONI, Francesco

In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...

Persistent link: https://www.econbiz.de/10005162950

Empirical Modeling of Contagion; A Review of Methodologies

Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...

Persistent link: https://www.econbiz.de/10005825971

Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes

Matei, Marius - Institutul de Prognoza Economica, Institutul National … - 2010

econometric problem of volatility forecasting for a portfolio of a number of selected returns. The discussion complicates given … portfolios formed of hundreds or thousands of stocks, for the scope of volatility (and therefore risk) forecasting, PCGARCH is … group of models that measures volatility. As such, forecasted volatility estimates may depend on the model or methodologies …

Persistent link: https://www.econbiz.de/10008615494

Fire Sales Forensics: Measuring Endogenous Risk

Cont, Rama; Wagalath, Lakshithe - HAL - 2012

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …

Persistent link: https://www.econbiz.de/10010548433