Zobrazeno 1 - 10 of 14 pro vyhledávání: '"Bastian Gribisch"'
1
Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach
Autor: Bastian Gribisch, Tobias Eckernkemper
Publikováno v: Journal of Forecasting. 40:883-910
We propose a copula-based periodic mixed frequency generalized autoregressive (GAS) framework in order to model and forecast the intraday exposure conditional value at risk (ECoVaR) for an intraday asset return and the corresponding market return. In
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5dff2042e44a2dbb4e8339ea45625c72
https://doi.org/10.1002/for.2744
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2
Factor state–space models for high-dimensional realized covariance matrices of asset returns
Autor: Jan Patrick Hartkopf, Bastian Gribisch, Roman Liesenfeld
Publikováno v: Journal of Empirical Finance. 55:1-20
We propose a dynamic factor state–space model for high-dimensional covariance matrices of asset returns. It makes use of observed risk factors and assumes that the latent integrated joint covariance matrix of the assets and the factors is observed
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b30c1451f27e2cfe8006cf652eb6962a
https://doi.org/10.1016/j.jempfin.2019.08.003
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3
A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns
Autor: Jeremias Bekierman, Bastian Gribisch
Publikováno v: Journal of Financial Econometrics. 19:496-530
We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long-run componen
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2044995ef9ee3ddb794991f9517ef726
https://doi.org/10.1093/jjfinec/nbz021
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5
Classical and Bayesian Inference for Income Distributions using Grouped Data
Autor: Bastian Gribisch, Tobias Eckernkemper
Publikováno v: SSRN Electronic Journal.
We propose a general framework for Maximum Likelihood (ML) and Bayesian estimation of income distributions based on grouped data information. The asymptotic properties of the ML estimators are derived and Bayesian parameter estimates are obtained by
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bef3c1a6bfef7c620b032133eea4e85a
https://doi.org/10.2139/ssrn.3713891
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6
Modeling Realized Covariance Measures with Heterogeneous Liquidity: A Generalized Matrix-Variate Wishart State-Space Model
Autor: Bastian Gribisch, Jan Patrick Hartkopf
Publikováno v: SSRN Electronic Journal.
We propose to generalize the Wishart state-space model for realized covariance matrices of asset returns in order to capture complex measurement error structures induced by heterogeneous liquidity across assets. Our model assumes that the latent cova
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9db3270eeb66e2396d0055fac33414f3
https://doi.org/10.2139/ssrn.3676140
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7
Modeling and Forecasting Realized Portfolio Weights
Autor: Vasyl Golosnoy, Bastian Gribisch
Publikováno v: SSRN Electronic Journal.
We propose direct multiple time series models for predicting high dimensional vectors of observable realized global minimum variance portfolio (GMVP) weights computed based on high-frequency intraday returns. We apply Lasso regression techniques, dev
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b42f74743c601d33891bb27dfea3da54
https://doi.org/10.2139/ssrn.3717695
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8
Intraday Conditional Value at Risk: A Periodic Mixed-Frequency GAS Approach
Autor: Bastian Gribisch, Tobias Eckernkemper
Publikováno v: SSRN Electronic Journal.
We propose a copula-based periodic mixed frequency GAS framework in order to model and forecast the intraday Exposure Conditional Value at Risk (ECoVaR) for an intraday asset return and the corresponding market return. In particular we analyze GAS mo
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::c0d0db88d9ef70e6b8dd065e9ad927aa
https://doi.org/10.2139/ssrn.3713896
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9
Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns
Autor: Roman Liesenfeld, Jan Patrick Hartkopf, Bastian Gribisch
Publikováno v: SSRN Electronic Journal.
We propose a dynamic factor state-space model for high-dimensional covariance matrices of asset returns. It uses observed risk factors and assumes that the latent covariance matrix of assets and factors is observed through their realized covariance m
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b450102170723d2cdb9ec3ca31dec931
https://doi.org/10.2139/ssrn.3283742
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10
Intra-daily volatility spillovers in international stock markets
Autor: Bastian Gribisch, Vasyl Golosnoy, Roman Liesenfeld
Publikováno v: Journal of International Money and Finance. 53:95-114
Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and durin
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::173920c1f82449d0c0f594e7892f3e28
https://doi.org/10.1016/j.jimonfin.2015.01.002
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