Download or read book Modelling and Forecasting Multivariate Realized Volatility written by Roxana Halbleib and published by . This book was released on 2015 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter restrictions. We provide an empirical application of the model, in which we show by means of stochastic dominance tests that the returns from an optimal portfolio based on the model's forecasts second-order dominate returns of portfolios optimized on the basis of traditional MGARCH models. This result implies that any risk-averse investor, regardless of the type of utility function, would be better-off using our model.

Download or read book An Extension of the HAR Model for Forecasting Multivariate Realized Volatility written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Models based on Realized Volatility (RV) obtained from high-frequency returns have recently gained a lot of attraction. One very successful example is the heterogeneous autoregressive ("HAR")-model, which has also been shown to be suitable for forecasting Realized Correlation (RC). However, the HAR-model has not yet been used in a feasible, formally multivariate, setting. I will advocate a factor approach based on PCA as a parsimonious and tractable way for modelling RV and RC in a high-dimensional setting and provide evidence of the superiority of this approach compared to multiple univariate (SUR) models.

Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics

Download or read book Modeling and Forecasting Realized Volatility written by Torben G. Andersen and published by . This book was released on 2001 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions.

Download or read book Forecasting Realized Volatility Measures with Multivariate and Univariate Models written by Gianluca Cubadda and published by . This book was released on 2018 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the forecasting performances of both univariate and multivariate models for realized volatilities series. We consider realized volatility measures of the returns of 13 major banks traded in the NYSE. Since our variables are characterized by the presence of long range dependence, we use several modelling approaches that are able to capture such feature. We look at the forecasting accuracy of the considered models to make inference on the underlying mechanism that has generated volatilities of the assets. Our main conclusion is that the contagion effect among the considered volatilities is small or, at least, not well captured by the considered multivariate models.

Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School

Download or read book Volatility Forecasting written by Torben Gustav Andersen and published by . This book was released on 2005 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly.

Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.

Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Download or read book Modelling and Forecasting High Frequency Financial Data written by Stavros Degiannakis and published by Springer. This book was released on 2016-04-29 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.

Download or read book Modelling and Forecasting Realized Volatility with Semiparametric Diffusion Models written by Maxim Fedotov and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis deals with application of semiparametric diffusion models for Realized Variance process. Theoretical foundations of the work are based on two papers: Ait-Sahalia 1995 who introduced semiparametric modeling for interest rate processes and its applications for derivatives pricing and Koo and Linton 2012 who relaxed assumption of stationarity of the process and introduced more flexibility into the model and its estimation. The thesis has two main goals - first, try to apply semiparametric diffusion models on Realized Variance time series, emerged recently thanks to high- frequency trading and gaining attention from many researchers today. This includes estimation of the model and behavior of the estimates with time and state. Second, in this thesis we are going beyond purely analytical applications of estimated model by trying to build simulations framework around it and in particular study performance of risk forcast in this framework. This, infact, is the first attempt to use this framework for forecasting Realized Variance series, in general, and by utilizing simulations, in particular. It is established in the thesis that the estimation of the process parameters gives results in line with expectations and these results indeed appear to capture true observed dynamics of the process. However, though some of the results look promising, in the course of numerical part of the thesis, a number of complications revealed themselves, which in this work were attempted to be addressed in a simplified fashion, and, undoubtedly, form an interesting direction for further research.

Download or read book Financial Mathematics Volatility and Covariance Modelling written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Download or read book Multivariate Volatility Modelling and Forecasting written by Klaus Jackels and published by . This book was released on 2007 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multivariate Realized Stock Market Volatility written by Gregory H. Bauer and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Introduction to High Frequency Finance written by Ramazan Gençay and published by Elsevier. This book was released on 2001-05-29 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

Download or read book The EAE Textbook of Echocardiography written by Leda Galiuto and published by Oxford University Press, USA. This book was released on 2011-03-31 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: With a strong clinical focus and full colour illustrations throughout, the official textbook of the European Association of Echocardiography is an indispensable resource for cardiologists and trainees around the world with an interest in echocardiography. Access to videos and EAE-approved MCQs is provided with each printed copy.