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Czasonis, Megan; Kinlaw, William; Kritzman, Mark; … - 2020 - This version: February 11, 2020

Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is...

Persistent link: https://www.econbiz.de/10012225151

Dude Where's My VaR? Annualising Volatility with Serial Correlation

Scott, Robert B. - 2017

Investors who use a risk-adjusted return approach to decision-making, could be making significant errors should they fail to adjust for serial correlation in fund, index and relative return data. The standard deviation of daily, weekly and monthly returns are often annualised using what is known...

Persistent link: https://www.econbiz.de/10012975781

Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends

McCloskey, Adam - 2012

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully … types of lowfrequency contamination. A simulation study examines the finite sample properties of the robust estimator …

Persistent link: https://www.econbiz.de/10013098304

The Nonlinear Iterative Least Squares (NL-ILS) Estimator : An Application to Volatility Models

Fruet Dias, Gustavo - 2018

The paper proposes a new robust estimator for GARCH-type models: the nonlinear iterative least squares (NL-ILS). This … estimator is especially useful on specifications where errors have some degree of dependence over time (weak-GARCH) or when the … conditional variance is misspecified. I illustrate the NL-ILS estimator by providing algorithms that consider the GARCH(1,1), weak …

Persistent link: https://www.econbiz.de/10012928873

Relating Stochastic Volatility Estimation Methods

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article it is argued that one...

Persistent link: https://www.econbiz.de/10013128944

Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

McCloskey, Adam - 2012 - This version: October 2012

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully … lowfrequency contamination. A simulation study examines the finite sample properties of the robust estimator, showing substantial …

Persistent link: https://www.econbiz.de/10009660446

Relating stochastic volatility estimation methods

Bos, Charles S. - 2011

Persistent link: https://www.econbiz.de/10011386124

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

Maximum likelihood estimation of stock volatility using jump-diffusion models

Chekenya, Nixon S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-17

We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...

Persistent link: https://www.econbiz.de/10012023360

Comovement of Exchange Rates : A Wavelet Analysis

Andries, Alin Marius - 2015

In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the behaviour of exchange rates in the Central and Eastern Europe (CEE). This novel approach takes care of several limitations which are encountered when conventional pair wise...

Persistent link: https://www.econbiz.de/10013035510