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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
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The superiority of the EGARCH-Odd Exponentiated Skew-t model in predicting financial returns volatility
Adubisi, Obinna Damian; Abdulkadir, Ahmed; Adubisi, … - In: Iranian economic review : journal of University of Tehran 28 (2024) 4, pp. 1176-1202
Persistent link: https://www.econbiz.de/10015403117
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A realized stochastic volatility model with box-cox transformation
Zheng, Tingguo; Song, Tao - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 593-605
Persistent link: https://www.econbiz.de/10010488412
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Time-varying tail behavior for realized kernels
Opschoor, Anne; Lucas, André - 2019 - This version:July23,2019
We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We … and forecasts of volatility risk quantiles. …
Persistent link: https://www.econbiz.de/10012053572
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Estimation and inference in predictive regressions
Kurozumi, Eiji; Aono, Kohei - In: Hitotsubashi journal of economics 54 (2013) 2, pp. 231-250
Persistent link: https://www.econbiz.de/10010343650
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...
Persistent link: https://www.econbiz.de/10012042424
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Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors
Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29
Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …
Persistent link: https://www.econbiz.de/10012520275
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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570