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Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance

Mykland, Per A. - 2016

The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that...

Persistent link: https://www.econbiz.de/10013006101

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867

Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

Persistent link: https://www.econbiz.de/10012292914

Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)

Malhotra, Yogesh - 2015

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Persistent link: https://www.econbiz.de/10013024329

Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management : How to Manage Risk (After Risk Management Has Failed) for Hedge Funds

Malhotra, Yogesh - 2015

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...

Persistent link: https://www.econbiz.de/10013031477

Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds

Malhotra, Yogesh - 2023

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...

Persistent link: https://www.econbiz.de/10014263882

Will My Risk Parity Strategy Outperform?

Anderson, Robert M. - 2012

We gauge the return-generating potential of four investment strategies: value weighted, 60/40 fixed mix, unlevered and levered risk parity. We have three main findings. First, even over periods lasting decades, the start and end dates of a backtest can have a material effect on results; second,...

Persistent link: https://www.econbiz.de/10013104083

The Sum of All Fears : Forecasting International Returns using Option-implied Risk Measures

Gagnon, Marie-Hélène - 2020

This paper investigates international index return predictability using daily-updated option-implied information in predictive regressions and out-of-sample forecasts. We document the significant predictive power of the variance risk premium (VRP), Generalized Riskiness (GR), and higher-order...

Persistent link: https://www.econbiz.de/10012853217

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

Persistent link: https://www.econbiz.de/10010407672

Is Risk Higher during Non-Trading Periods? The Risk Trade-Off for Intraday versus Overnight Market Returns

Riedel, Christoph - 2015

volatility versus tail risk trade-off based on conditional Value-at-Risk calculations. Our results show that overnight downside … market risk is composed of a moderate volatility risk component and a significant tail risk component. We conclude that … market participants face different intraday versus overnight risk profiles and that a risk assessment based on volatility …

Persistent link: https://www.econbiz.de/10013032518