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Fractional integration and fat tails for realized covariance kernels and returns

Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016

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/10011531139

Fractional integration and fat tails for realized covariance kernels

Opschoor, Anne; Lucas, André - In: Journal of financial econometrics 17 (2019) 1, pp. 66-90

Persistent link: https://www.econbiz.de/10012054426

Statistical causes for the Epps effect in microstructure noise

Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246

Persistent link: https://www.econbiz.de/10009541998

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30

The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the … by so-called pseudo-statistics, namely, the pseudo-variance, -covariance, -volatility, and -correlation. The main … paper, we will demonstrate how to value different types of swaps (variance, volatility, covariance, and correlation swaps …

Persistent link: https://www.econbiz.de/10014370400

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Persistent link: https://www.econbiz.de/10001650407

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178

The empirical performance of option-based densities of foreign exchange

Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002542714

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

function to account for this correlation between our random variables that are uniform distributed under the null hypothesis … gemeinsam hat. Wir modifizieren die Tests auf Grundlage der inversen Verteilungsfunktion, um dieser Korrelation zwischen unseren …

Persistent link: https://www.econbiz.de/10011431367

New HEAVY models for fat-tailed returns and realized covariance kernels

Janus, Paweł; Lucas, André; Opschoor, Anne - 2014

) multivariate volatility models, both in-sample and out-of-sample. We also comment on the possibility to use composite likelihood …

Persistent link: https://www.econbiz.de/10010364103

Correlation Under Stress in Normal Variance Mixture Models

Kalkbrener, Michael - 2012

is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in … correlation under stress. For the NVM distribution, we calculate the asymptotic limit of the correlation under stress, which …

Persistent link: https://www.econbiz.de/10013116450