Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Rodrigo Hizmeri"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::67a8858e25a76d65aa9573339da0aed4
https://doi.org/10.2139/ssrn.4376018
https://doi.org/10.2139/ssrn.4376018
This paper introduces a novel class of volatility forecasting models that incorporate market realized (co)variances and semi(co)variances within the framework of a heterogeneous autoregressive (HAR) model. Our empirical analysis shows statistically
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc682b7e7a37920cf92aee49e892227a
This paper shows that generalizing the heterogeneous autoregressive model (HAR) with realized (co)variances and semi-(co)variances from the index leads to more accurate volatility forecasts. To circumvent the effects of the market microstructure nois
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac8e13166a7e1aadafe117b21169db52
https://eprints.lancs.ac.uk/id/eprint/170334/
https://eprints.lancs.ac.uk/id/eprint/170334/
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9b17d9dfaefc33efef3772c4f40e7197
https://doi.org/10.2139/ssrn.4216981
https://doi.org/10.2139/ssrn.4216981
Publikováno v:
Federal Reserve Bank of Dallas, Working Papers. 2019
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7b64c491c5c88abe83aaf6358ff19dcb
https://doi.org/10.24149/wp1902r1
https://doi.org/10.24149/wp1902r1
Autor:
Rodrigo Hizmeri, Marwan Izzeldin
Publikováno v:
SSRN Electronic Journal.
This paper examines the finite sample properties of novel theoretical tests that evaluate the presence of: a) Brownian motion, b) jumps; c) finite vs. infinite activity jumps. In allowing for Gaussian, t-distributed, and Gaussian-T mixture noise, our
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3cc4fa7c002622cb8601f029c564167d
https://doi.org/10.2139/ssrn.3639110
https://doi.org/10.2139/ssrn.3639110
Publikováno v:
SSRN Electronic Journal.
This paper proposes a robust framework for disentangling undiversifiable common jumps within the realized covariance matrix. Simultaneous jumps detected in our empirical study are strongly related to major financial and economic news, and their occur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cd61ca6901c03c77609d45bf54af8cab
https://doi.org/10.2139/ssrn.3745671
https://doi.org/10.2139/ssrn.3745671
Publikováno v:
SSRN Electronic Journal.
We propose a dilution bias correction approach to deal with the errors-in-variables problem observed in realized volatility (RV) measures. The absolute difference between daily and monthly RV is shown to be proportional to the relative magnitude of t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e2b7061422085a8a6409faf9fd719eab
https://doi.org/10.2139/ssrn.3639116
https://doi.org/10.2139/ssrn.3639116
Publikováno v:
Federal Reserve Bank of Dallas, Working Papers. 2019
We document the forecasting gains achieved by incorporating measures of signed, finite, and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3cd96aa94cee325936b759dcfb838a19
https://doi.org/10.24149/gwp1902
https://doi.org/10.24149/gwp1902
Publikováno v:
SSRN Electronic Journal.
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8cf36bf44ac8b0d019d3e79d0db5638
https://doi.org/10.2139/ssrn.3393464
https://doi.org/10.2139/ssrn.3393464