منابع مشابه
Fat tails and asymmetry in financial volatility models
Although the GARCH model has been quite successful in capturing important empirical aspects of financial data, particularly for the symmetric effects of volatility, it has had far less success in capturing the effects of extreme observations, outliers and skewness in returns. This paper examines the GARCH model under various non-normal error distributions in order to evaluate skewness and lepto...
متن کاملVolatility Jump Regressions
This paper develops econometric tools for studying the jump dependencies between the underlying or latent spot volatilities of two assets from high-frequency observations on a fixed time interval – with a particular interest in the relationship between the individual volatilities of traded assets and the volatilities of aggregate risk factors such as the market volatility. The paper derives an ...
متن کاملFat Tails
This reprint is provided for personal and noncommercial use. For any other use, please send a request Brian Hayes by electronic mail to [email protected].
متن کاملBayesian inference for regime switching stochastic volatility model with fat-tails and correlated errors
The stochastic volatility model provides a successful tool in accounting for well-documented time-varying behavior in the volatility of financial time series. The purpose of the paper is to extend the regime-switching stochastic volatility (RSSV) model to handle with both heavy-tailed and correlated errors. A Bayesian approach with Markov Chain Monte Carlo is employed for estimating model param...
متن کاملVolatility Puzzles: A Unified Framework for Gauging Return-Volatility Regressions∗
This paper provides a simple unified framework for assessing the empirical linkages between returns and realized and implied volatilities. First, we show that whereas the volatility feedback effect as measured by the sign of the correlation between contemporaneous return and realized volatility depends importantly on the underlying structural model parameters, the correlation between return and...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2020
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2020.04.034