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Risk, return, and volatility feedback : a Bayesian nonparametric analysis

Jensen, Mark J.; Maheu, John M. - 2014

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...

Persistent link: https://www.econbiz.de/10010365633

Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Li, Yifan; Nolte, Ingmar; Nolte (Lechner), Sandra; Yu, … - 2021

than other tests based on observations regularly sampled in calendar time with a similar level of sampling sparseness. Our …

Persistent link: https://www.econbiz.de/10013321639

Realized Volatility When Sampling Times are Possibly Endogenous

Li, Yingying - 2013

When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time...

Persistent link: https://www.econbiz.de/10013095254

An Infinite Hidden Markov Model with Stochastic Volatility

Chenxing; Maheu, John M.; Yang, Qiao - 2022

This paper extends the Bayesian semiparametric stochastic volatility (SV-DPM) model of Jensen and Maheu (2010). Instead of using a Dirichlet process mixture (DPM) to model return innovations, we use an infinite hidden Markov model (IHMM). This allows for time variation in the return density...

Persistent link: https://www.econbiz.de/10013295177

Estimating Low Sampling Frequency Risk Measure by High-Frequency Data

Wesselhöfft, Niels - 2020

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and back-test study that available data series are not sufficient in order to estimate Value at Risk and...

Persistent link: https://www.econbiz.de/10012827639

Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH( p, q) processes

Bräutigam, Marcel - 2019

In this note, we build upon the asymptotic theory for GARCH processes, considering the general class of augmented GARCH …

Persistent link: https://www.econbiz.de/10012867056

Realized density estimation using intraday prices

Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9

with respect to the bandwidth selection as well as the sampling frequency selection. The main finding is that the kernel … bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …

Persistent link: https://www.econbiz.de/10012264979

Interpreting the correlation between inflation and the skewness of relative prices : a comment on Bryan and Cecchetti

Ball, Laurence M.; Mankiw, Nicholas Gregory - In: The review of economics and statistics 81 (1999) 2, pp. 197-198

Persistent link: https://www.econbiz.de/10001396542

Cross-sectional inflation asymmetries and core inflation : a comment on Bryan and Cecchetti

Verbrugge, Randal - In: The review of economics and statistics 81 (1999) 2, pp. 199-202

Persistent link: https://www.econbiz.de/10001396544

Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321

Persistent link: https://www.econbiz.de/10001401125