Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Giacomo Toscano"'
Autor:
Giacomo Toscano
Publikováno v:
Applied Stochastic Models in Business and Industry. 38:497-511
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::268e2ad1e3e2c294adcb818f8edfc80c
https://doi.org/10.1002/asmb.2672
https://doi.org/10.1002/asmb.2672
The main contribution of the paper is proving that the Fourier spot volatility estimator introduced in [Malliavin and Mancino, 2002] is consistent and asymptotically efficient if the price process is contaminated by microstructure noise. Specifically
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::804b05f5c635e524546755929f1f36c2
http://arxiv.org/abs/2209.08967
http://arxiv.org/abs/2209.08967
Publikováno v:
Annals of Operations Research.
We introduce a novel stochastic volatility model with price and volatility co-jumps driven by Hawkes processes and develop a feasible maximum-likelihood procedure to estimate the parameters driving the jump intensity. Using S &P500 high-frequency pri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3793532f1bc00bb25bc3522fae16a589
https://doi.org/10.1007/s10479-022-04924-9
https://doi.org/10.1007/s10479-022-04924-9
Publikováno v:
Decisions in Economics and Finance. 45:137-185
The simplest and most natural vol-of-vol estimator, the pre-estimated spot variance-based realized variance, is typically plagued by a large finite-sample bias. In this paper, we analytically show that allowing for the overlap of consecutive local wi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db418194274d6b3e593f4274822ff65b
https://doi.org/10.1007/s10203-021-00349-4
https://doi.org/10.1007/s10203-021-00349-4
Autor:
Angela Orlandi, Giacomo Toscano
Publikováno v:
Financial History Review. 28:124-151
Based on the reconstruction of the monetary flows of a merchant-banking company operating in Barcelona at the beginning of the fifteenth century, this study aims to understand the reasons behind exchange-rate variations in the local currency with res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::42e9099805c78b9ae535c3a0a886e83a
https://doi.org/10.1017/s0968565021000032
https://doi.org/10.1017/s0968565021000032
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected estimator reac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::08195d6df3fde5245df1e828a55ad33a
https://hdl.handle.net/11384/125422
https://hdl.handle.net/11384/125422
Autor:
Giacomo Toscano
Publikováno v:
SSRN Electronic Journal.
We study the sensitivity of the leverage effect to changes in the volatility and the price, showing the existence of an analytical link between the latter and the price-leverage covariation in settings with, respectively, stochastic and level-depende
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6819a407e1d48357f681ee897e662293
https://doi.org/10.2139/ssrn.3776771
https://doi.org/10.2139/ssrn.3776771
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::27a60f2d5d76d914b08c8cdd59d080bc
https://doi.org/10.2139/ssrn.3941426
https://doi.org/10.2139/ssrn.3941426
Publikováno v:
SSRN Electronic Journal.
We empirically investigate the functional link between the variance swap rate and the spot variance. Using S&P500 data over the period 2006-2018, we find overwhelming empirical evidence supporting the affine link analytically found by Kallsen et al.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f959671b60abbf11f858a6189e0e76fc
https://doi.org/10.2139/ssrn.3571429
https://doi.org/10.2139/ssrn.3571429
Publikováno v:
SSRN Electronic Journal.
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realized estimator by Barndorff-Nielsen and Veraart (2009). Our analytic res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::61341448fdbbbe2a7683b1ba3ccfac57
https://doi.org/10.2139/ssrn.3517230
https://doi.org/10.2139/ssrn.3517230