Results 11 to 20 of about 525,958 (299)
Conditional Volatility Targeting [PDF]
Financial Analysts Journal, 2020 In analyzing the performance of volatility-targeting strategies, we found that conventional volatility targeting fails to consistently improve performance in global equity markets and can lead to markedly greater drawdowns. Motivated by return patterns in various volatility states, we propose a strategy of conditional volatility targeting that adjusts ...
Dion Bongaerts +2 more
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Autoregresive conditional volatility, skewness and kurtosis [PDF]
The Quarterly Review of Economics and Finance, 2005 Ángel León and Gonzalo Rubio acknowledge the financial support provided by the Ministerio de Ciencia y Tecnología, grants BEC2002-03797 and BEC2001-0636 respectively, and also thank the Fundación BBVA research grant 1-BBVA 00044.321-15466/2002.
León, Angel +2 more
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A Stochastic Volatility Model With Conditional Skewness [PDF]
Journal of Business & Economic Statistics, 2008 We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on current factors and past information, what we term ...
Bruno Feunou, Roméo Tédongap
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Alternative models for conditional stock volatility [PDF]
Journal of Econometrics, 1990 Abstract This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-1925 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity. We show
Adrian R. Pagan, G. William Schwert
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility [PDF]
Journal of Econometrics, 2001 We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated
Bollerslev, T, Zhou, H
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Idiosyncratic Volatility, Conditional Liquidity and Stock Returns [PDF]
SSRN Electronic Journal, 2016 Juliana Malagon acknowledges financial support from Universidad de Los Andes, Fondo de Apoyo para Profesores Asistentes [grant number P17.100322.004]. David Moreno acknowledges financial support from Ministerio de Ciencia y Tecnología [grant number ECO2013-42849-P].
Malagon, Juliana +2 more
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Conditional Volatility, Skewness and Kurtosis: Existence and Persistence [PDF]
, 2001 Recent portfolio choice, asset pricing, and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations, they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a conditional generalized-t distribution for residuals.
Eric Jondeau, Georg Michael Rockinger
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Predicting volatility and correlations with Financial Conditions Indexes [PDF]
Journal of Empirical Finance, 2013 We model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily stock returns of US deposit banks during the period 1994-2011, and ...
Anne Opschoor +2 more
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Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns [PDF]
Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets.
Roengchai Tansuchat +3 more
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Exponential Conditional Volatility Models [PDF]
, 2010 The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven
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