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MODEL APPROACH OF AGGREGATE RETURN VOLATILITY: GARCH(1,1)-COPULA VS GARCH(1,1)-BIVARIATE NORMAL

Barekeng
Aggregate risk is an aggregation of single risks that are both independent and interdependent. In this study, aggregate risk is constructed from two interdependent random risk variables.
Asysta Amalia Pasaribu, Anang Kurnia
doaj   +1 more source

Estimation of integrated volatility of volatility with applications to goodness-of-fit testing

, 2015
In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on increments of spot ...
Vetter, Mathias
core   +1 more source

Stock Price Dynamics and Option Valuations under Volatility Feedback Effect [PDF]

, 2012
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio.
Kanniainen, Juho, Piché, Robert
core   +2 more sources

Bivariate Volatility Modeling with High-Frequency Data

Econometrics, 2019
We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural
Marius Matei, Xari Rovira, Núria Agell
doaj   +1 more source

Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

, 2007
The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks
Andersen, Andersen, Bollen, Bouchaud, Engle, Guo-Hua Mu, Gutenberg, Jiang, Johansen, Johansen, Kapopoulos, Lillo, Lillo, Liu, Malevergne, Mantegna, Omori, Pasquini, Pasquini, Pasquini, Rao, Selçuk, Selçuk, Sornette, Sornette, Sornette, Sornette, Weber, Wei-Xing Zhou, Zhou, Zhou, Zhou   +31 more
core   +1 more source

Graph-Based Stock Volatility Forecasting with Effective Transfer Entropy and Hurst-Based Regime Adaptation

Fractal and Fractional
This study proposes a novel hybrid model for stock volatility forecasting by integrating directional and temporal dependencies among financial time series and market regime changes into a unified modeling framework.
Sangheon Lee, Poongjin Cho
doaj   +1 more source

Changes in the Distribution of Income Volatility [PDF]

, 2008
Recent research has documented a significant rise in the volatility (e.g., expected squared change) of individual incomes in the U.S. since the 1970s.
Jensen, Shane T., Shore, Stephen H.
core   +5 more sources

Vast volatility matrix estimation for high-frequency financial data [PDF]

, 2010
High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are often used to estimate integrated volatility.
Wang, Yazhen, Zou, Jian
core   +1 more source

Does Real Exchange Rate Volatility Affect Sectoral Trade Flows? [PDF]

, 2008
This paper investigates empirically the effect of real exchange rate volatility on sectoral bilateral trade flows between the US and her top thirteen trading countries. Our investigation also considers those effects on trade flows which may arise through
Caglayan, M., Di, J.
core  

Policy News and Stock Market Volatility

Social Science Research Network, 2019
We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the Macroeconomic Outlook,
S. Baker, N. Bloom, S. Davis, Kyle J Kost   +3 more
semanticscholar   +1 more source