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What do we know about the second moment of financial markets?

Grobys, Klaus - In: International review of financial analysis 78 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013252740

A fractal and comparative view of the memory of Bitcoin and S&P 500 returns

Grobys, Klaus - In: Research in international business and finance 66 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014460264

Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach

Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...

Persistent link: https://www.econbiz.de/10012697796

Orthant-based variance decomposition in investment portfolios

Giner, Javier - In: European journal of operational research : EJOR 291 (2021) 2, pp. 497-511

Persistent link: https://www.econbiz.de/10012495336

Foreign exchange risk and the predictability of carry trade returns

Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313

Persistent link: https://www.econbiz.de/10010408374

Potential PCA interpretation problems for volatility smile dynamics

Reiswich, Dimitri; Tompkins, Robert G. - 2009

Persistent link: https://www.econbiz.de/10003858887

Potential PCA interpretation problems for volatility smile dynamics

Reiswich, Dimitri; Tompkins, Robert G. - 2009

volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be … may not be able to distinguish between these three effects. The contribution of the factors explaining the variance in the …

Persistent link: https://www.econbiz.de/10011293917

Do co-jumps impact correlations in currency markets?

Barunik, Jozef; Vacha, Lukas - In: Journal of financial markets 37 (2018), pp. 97-119

Persistent link: https://www.econbiz.de/10012001025

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

Regular or automated processes require reliable software applications that provide accurate volatility and Value … forecasts is investigated. Coefficients of the ordinary (Pearson) and the default correlation are calculated for moving time … windows. Since the calculated default correlation depends on the VaR forecasts, analyses are performed for different quantiles …

Persistent link: https://www.econbiz.de/10013474092