Narrow search
Showing 1 - 10 of 10,606
Cover Image
Beta-Adjusted Covariance Estimation
Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021
The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...
Persistent link: https://www.econbiz.de/10013235022
Cover Image
How Many Observations Should One Use When Calculating Historical Estimators for Expected Returns, Volatilities and Correlations?
Steiner, Andreas - 2022
Deriving estimators from historical data is common practice in applied quantitative finance. The availability of ever larger data sets and easier access to statistical algorithms has also led to an increased usage of historical estimators. In this research note, we illustrate how to assess the...
Persistent link: https://www.econbiz.de/10014236566
Cover Image
Estimation with Flexible Probabilities : Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis
Flint, Emlyn James - 2019
At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...
Persistent link: https://www.econbiz.de/10012893987
Cover Image
Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium
Casas, Isabel - 2018
This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...
Persistent link: https://www.econbiz.de/10012925879
Cover Image
Measuring Contemporaneous Correlation between Return Shock and Volatility Shock in an EGARCH Model
Yang, Minxian - 2011
measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … correlation can be quantified within an EGARCH model, where the composite disturbance to the return follows a normal log … the contemporaneous correlation being negative and the ARCH-M effect being positive …
Persistent link: https://www.econbiz.de/10013133961
Cover Image
Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012316010
Cover Image
Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
Cover Image
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Lucas, André - 2017
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10012968271
Cover Image
High-Frequency Covariance Matrix Estimation Using Price Durations
Zhao, Xiaolu - 2018
We propose a price duration based covariance matrix estimator using high frequency transactions data. The effect of the last-tick time-synchronisation methodology, together with effects of important market microstructure components is analysed through a comprehensive Monte Carlo study. To...
Persistent link: https://www.econbiz.de/10012921768
Cover Image
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010411945