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• (repositories = "EconStor" AND subject = "Theorie" AND subject = "Volatilität")
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repositories = "EconStor" > : "Theorie" "Volatilität" (x)
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Found 153 documents, displaying page 1 of 16

Financial asset returns, direction-of-change forecasting, and volatility dynamics

Author(s) : Christoffersen, Peter F. , Diebold, Francis X.
Description : We consider three sets of phenomena that feature prominently – and separately – in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs, and dependence (and hence forecastability) in asset ret...
Repository : EconStor
Language(s) : English

Vanna-volga pricing

Author(s) : Wystup, Uwe
Description : The vanna-volga method, also called the traders’ rule of thumb is an empirical procedure that can be used to infer an implied-volatility smile from three available quotes for a given maturity. It is based on the construction of locally replicating portfolios whose associated hedging costs are added ...
Repository : EconStor
Language(s) : English

Forecasting Realised Volatility using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment

Author(s) : Hirvich, Clifford , Deo, Rohit S. , Luo, Yi
Description : We study the modelling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV) model. Issues pertaining to estimation and forecasting of datasets using the LMSV model are studied in detail. Furthermore, a new method of de-seasonalising the volatility in high fre...
Repository : EconStor
Language(s) : English

Why do petrol prices fluctuate so much?

Author(s) : Beckmann, Klaus
Description : n.a.
Repository : EconStor
Language(s) : English

Robust online scale estimation in time series : regression-free approach

Author(s) : Gelper, Sarah , Schettlinger, Karen , Croux, Christophe , Gather, Ursula
Description : This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time series. ...
Repository : EconStor
Language(s) : English

The excess volatility of foreign exchange rates: Statistical puzzle or theoretical artifact?

Author(s) : Hauswald, Robert B. H.
Description : The inability to reconcile observed levels of foreign exchange rate volatility with predictions derived from rational expectations models represents one of the most persistent challenges in international nance. This paper shows that such excess volatility puzzles arise from informational assumptions...
Repository : EconStor
Language(s) : English

Trends in the transitory variance of male earnings in the US, 1970 - 2004

Author(s) : Moffitt, Robert , Gottschalk, Peter
Description : We estimate the trend in the transitory variance of male earnings in the U.S. using the Michigan Panel Study of Income Dynamics from 1970 to 2004. Using both an error components model as well as simpler but only approximate methods, we find that the transitory variance started to increase in the ear...
Repository : EconStor
Language(s) : English

Realized volatility

Author(s) : Andersen, Torben G. , Benzoni, Luca
Description : Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled squared return realizations over a fixed time interval. In a frictionless market, the estimate achieves consistency for the underlying quadratic ...
Repository : EconStor
Language(s) : English

ARCH-Prozesse und ihre Erweiterungen - Eine empirische Untersuchung für Finanzmarktzeitreihen -

Author(s) : Jacobi, Frank
Description : Das in Finanzmarktdaten zu beobachtende volatility-clustering impliziert, daß große Renditeschocks bei der Preisbildung die Wahrscheinlichkeit einer hohen zukünftigen Volatilität steigern. Ausgehend von den von Engle (1982) vorgeschlagenen ARCH-Modellen hat sich eine ganze Reihe von Modellvarianten ...
Repository : EconStor
Language(s) : English

Identifying monetary policy shocks via changes in volatility

Author(s) : Lanne, Markku , Lütkepohl, Helmut
Description : A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to fully id...
Repository : EconStor
Language(s) : English
1 2 3 4 5 > >>

Found 153 documents, displaying page 1 of 16