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Fengler, Matthias R.; Okhrin, Ostap - 2012

portfolio risk-management applica- tion, we find that time-varying realized copula is superior to standard benchmark models in …

Persistent link: https://www.econbiz.de/10010318779

Long Memory in Stock Returns : An Analysis Using a Wavelet Based Semi-Parametric Estimator

Bhandari, Avishek - 2018

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity and existence of long memory in the volatility of stock...

Persistent link: https://www.econbiz.de/10012920334

'Choosing Factors' by Fama and French (2018) : A Comment

Allen, David E. - 2018

This paper features a statistical analysis of the monthly three factor Fama/French return series. We apply rolling OLS regressions to explore the relationship between the 3 factors, using monthly data from July 1926 to June 2018, that are available on Ken French's website. The results suggest...

Persistent link: https://www.econbiz.de/10012908985

Estimation of Jump Tails

Bollerslev, Tim - 2011

We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...

Persistent link: https://www.econbiz.de/10013133664

Estimation of Jump Tails

Bollerslev, Tim - 2010

Persistent link: https://www.econbiz.de/10013144212

Range-Based Covariance Estimation Using High-Frequency Data : The Realized Co-Range

Bannouh, Karim - 2010

We introduce the realized co-range, a novel estimator of the daily covariance between asset returns based on intraday high-low price ranges. In an ideal world, the co-range is five times more efficient than the realized covariance, which uses cross-products of intraday returns, when sampling at...

Persistent link: https://www.econbiz.de/10013150669

Estimation of Integrated Covariances in the Simultaneous Presence of Nonsynchronicity, Microstructure Noise and Jumps

Koike, Yuta - 2013

We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayashi-Yoshida estimator, enables us to separate the sum of the co-jumps from the total quadratic covariation even in...

Persistent link: https://www.econbiz.de/10013086432

The Estimation of Leverage Effect with High Frequency Data

Wang, Christina Dan - 2014

stochastic volatility context and for high frequency data. The consistency and limit distribution of the estimators are derived …

Persistent link: https://www.econbiz.de/10013067501

Combinations of High Order Gaussian Kernel Estimator with Simulation Historical of Value at Risk (VaR) Return Portfolio Measurement

2014

Financial experts assume that measures the risk of financial asset returns generally have a normal distribution … regardless of the form of distribution as a form of financial risk estimation. In this, research the size of the financial risk … risk of taking the measurements. For it is necessary to develop methods of risk measurement, VaR on asset returns …

Persistent link: https://www.econbiz.de/10013056260

Realized Skewness at High Frequency and the Link to a Conditional Market Premium

Liu, Zhi - 2014

-of-sample. We also show that the new skewness measure plus the variance risk premium provides right decomposition for the skewness … risk and it subsumes the market momentum effect in the short run. We thus provide valuable evidence that realized skewness …

Persistent link: https://www.econbiz.de/10013064485