Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Mingmian Cheng"'
Autor:
Mingmian Cheng, Norman R. Swanson
Publikováno v:
Econometrics, Vol 7, Iss 1, p 13 (2019)
Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitu
Externí odkaz:
https://doaj.org/article/7d80c202156d4c32a63e93d7f729b699
Publikováno v:
Journal of Econometrics.
This paper investigates the effect of characteristic-based time-varying factor beta on the diffusion-index type forecast. Specifically, the factor beta includes two distinct components: the "instrumental beta'' is a function of some observed stable v
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::15213f413ea2379f03e242cf3c028d7a
https://doi.org/10.1016/j.jeconom.2022.11.007
https://doi.org/10.1016/j.jeconom.2022.11.007
Publikováno v:
Journal of Empirical Finance. 62:46-61
In this paper, we propose and evaluate a shrinkage based methodology that is designed to improve the accuracy of volatility forecasts. Our approach is based on a two-step procedure for extracting latent common volatility factors from a large dimensio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::07def56ed52b1504d62701157b42c5a3
https://doi.org/10.1016/j.jempfin.2021.01.007
https://doi.org/10.1016/j.jempfin.2021.01.007
Publikováno v:
Macroeconomic Forecasting in the Era of Big Data ISBN: 9783030311490
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb42be1be28cd7e078fb5695b4926b17
https://doi.org/10.1007/978-3-030-31150-6_16
https://doi.org/10.1007/978-3-030-31150-6_16
Publikováno v:
SSRN Electronic Journal.
In this paper, we use factor-augmented HAR-type models to predict the daily integrated volatility of asset returns. Our approach is based on a proposed two-step dimension reduction procedure designed to extract latent common volatility factors from a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f50f1cca2fe98631fb8e7bab6450d394
https://doi.org/10.2139/ssrn.2998304
https://doi.org/10.2139/ssrn.2998304