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Measuring and modeling risk using high-frequency data

Härdle, Wolfgang (contributor); … - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...

Persistent link: https://www.econbiz.de/10003727640

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - In: Applied quantitative finance, (pp. 275-293). 2009

Persistent link: https://www.econbiz.de/10003746412

Can oil prices help predict US stock market returns? : evidence using a dynamic model averaging (DMA) approach

Naser, Hanan; Alaali, Fatema - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1757-1777

Persistent link: https://www.econbiz.de/10011950311

Firm and establishment volatility : the role of sunk costs, profit uncertainty and technological change

Ghosal, Vivek - 2003

. Examining the within-industry range of variation (max.-min.) of the number of firms over our sample period, the low and high … reveals that (1) the typical industry experiences significant fluctuations in the number of firms and (2) there are large … cross-industry differences in this dimension. Theory suggests several potential factors that might explain this dispersion …

Persistent link: https://www.econbiz.de/10001784015