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Measuring and forecasting financial market volatility using high-frequency data
Bannouh, Karim - 2013
Persistent link: https://www.econbiz.de/10009707692
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Common method variance or measurement bias? : the problem and possible solutions
Spector, Paul E.; Brannick, Michael T. - In: The Sage handbook of organizational research methods, (pp. 346-362). 2009
Persistent link: https://www.econbiz.de/10003954801
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Methodological threat or myth? : evaluating the current state of evidence on common method variance in human resource management research
Bozionelos, Nikos; Simmering, Marcia J. - In: Human resource management journal : HRMJ ; the … 32 (2022) 1, pp. 194-215
Persistent link: https://www.econbiz.de/10012816029
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Financial econometrics and systemic risk
Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021
these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by …
Persistent link: https://www.econbiz.de/10012604203
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Biases in Variance of Decomposed Portfolio Returns
Alexeev, Vitali - 2018
estimates of portfolio volatilities during 2003, 2005 and 2010, but caused a significant increase in volatility estimates in the …
Persistent link: https://www.econbiz.de/10012930691
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Can the variance after-effect distort stock returns?
Berrada, Tony - 2021
Variance after-effect is a perceptual bias in the dynamic assessment of variance. Experimental evidence shows that … predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …
Persistent link: https://www.econbiz.de/10012487731
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Mean Ratio Statistic for measuring predictability
Linton, Oliver; Smetanina, Katja - 2015
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...
Persistent link: https://www.econbiz.de/10010481079
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Forecasting Expected Shortfall and Value-at-Risk with the FZ Loss and Realized Variance Measures
Chou, Ray Y. - 2020
Value at risk (VaR) and expected shortfall (ES) are two of the most widely used risk measures in economics and finance. In this paper, we use a semiparametric method, together with realized variance measures, to jointly estimate structural models for the two risk measures. The semiparametric...
Persistent link: https://www.econbiz.de/10012847881
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Essays on financial econometrics
Marcucci, Juri - 2005
Persistent link: https://www.econbiz.de/10003384566