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High frequency vs. daily resolution : the economic value of forecasting volatility models

Lilla, Francesca - 2016

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...

Persistent link: https://www.econbiz.de/10011730304

High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed

Lilla, Francesca - 2017

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...

Persistent link: https://www.econbiz.de/10011674479

An Empirical Study of Volatility and Trading Volume Dynamics Using High-Frequency Data

Lu, Wen-Cheng; Lin, Fang-Jun - 2011

This paper examines the dynamic relationship of volatility and trading volume using a bivariate vector autoregressive methodology. This study found bidirectional causal relations between trading volume and volatility, which is in accordance with sequential information arrival hypothesis that...

Persistent link: https://www.econbiz.de/10014180621

Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering

Malik, Sheheryar; Pitt, Michael K. - 2011

model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting … the standard GARCH model as a special case, it has the attractive feature of inheriting the same unconditional properties … of the standard GARCH model but being conditionally heavier-tailed; thus more robust to outliers. It is demonstrated how …

Persistent link: https://www.econbiz.de/10014185810

Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility

Sherris, Michael; Njenga, Carolyn - 2011

Longevity risk and the modeling of trends and volatility for mortality improvement has attracted increased attention driven by ageing populations around the world and the expected financial implications. The original Lee-Carter model that was used for longevity risk assessment included a single...

Persistent link: https://www.econbiz.de/10014204736

Modeling and Estimating Volatility of Options on Standard & Poor's 500 Index

Borkowski, Boleslaw; Krawiec, Monika; Shachmurove, Yochanan - 2013

This paper explores the impact of volatility estimation methods on theoretical option values based upon the Black-Scholes-Merton (BSM) model. Volatility is the only input used in the BSM model that cannot be observed in the market or a priori determined in a contract. Thus, properly calculating...

Persistent link: https://www.econbiz.de/10014159317

High Frequency vs. Daily Resolution : The Economic Value of Forecasting Volatility Models

Lilla, Francesca - 2016

Persistent link: https://www.econbiz.de/10014124325

Impact of Crude Oil Price and Exchange Rate on Performance of Indian Stock Market

Singh, Saurabh - 2016

This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in...

Persistent link: https://www.econbiz.de/10012999793

Transmission of Volatility Across Asia-Pacific Stock Markets : Is There a Pattern?

Mitra, Amarnath - 2015

In finance literature, volatility is synonymous with the measure of risk. Spillover of volatility refers to the transmission of disturbances or shock from one market to another and has direct consequence on resource allocation, risk hedging, and even, monetary policies. Spillover between stock...

Persistent link: https://www.econbiz.de/10013028095

Impact of Derivative Trading on Currency Market Volatility in India

Singh, Saurabh - 2015

underlying volatility GARCH (1, 1) model has been employed. The results indicate that the introduction of currency futures …

Persistent link: https://www.econbiz.de/10013028617