18 results with keyword: 'volatility forecasting downside risk jumps and leverage effect'
First, we test the performance of the HAR model for the realized variation, which yielded the lowest forecasting power among all the candidate models when evaluated on the
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The empirical results for three stocks traded on the New York Stock Exchange showed that the co-jumps of any two assets have a significant impact on future co-volatility, but that
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Boudt and Zhang (2013) suggested a jump-robust TSRV (RTSRV) estimator as a mixture of the TSRV estimator in (6), and the truncated realized volatility estimators of Macini and Ren´
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To reduce the risk of an electric shock or fire, DO NOT use an extension cord or an adapter to connect the dryer to the electrical power
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Key words: Bayesian analysis, Correlated jumps, Heavy-tailed error, Jumps, Leverage effect, Markov chain Monte Carlo, Marginal likelihood, Mixture sampler, Stochastic volatility,
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Keywords : density forecasting, jumps, realized volatility, bipower variation, median realized volatility, bivariate
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Key Words: volatility proxy, downward absolute power variation, log-Garch, volatility asymmetry, leverage effect, SP500, volatility forecasting, high-frequency data.. ∗
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Keywords : Volatility asymmetry, leverage effect, volatility feedback effect, return risk premium, variance risk premium, multi-horizon causality, causality measure,
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Around 2010, the main arguments and objects of cybersecurity are: cyberthreat against vital infrastructures, threat of State attacks, War, National Defense..
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Patented central data repository ensures a common, scalable application knowledgebase that promotes use and reuse of components Integrated test data management feature
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Mots-clés : Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, highfrequency
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Volatility forecasting error for Macy’s (M) resulted in approximately $0.40 pricing error for both forecasting methods, with historical volatility overestimating the option
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The TCC PC solenoid regulates actuator feed limit fluid pressure to the TCC regulator valve, located in the lower valve body, and provides a signal pressure to shift the TCC
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Empirical results show that more than 80% of the co-volatility of the two futures contains jump variations and that they have significant impacts on future co-volatility but that
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The primary objective of this retrospective cohort analysis was to compare health centers to hospitals in terms of adoption and adherence to new treatment guidelines, using as a
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While bipower variation is a consistent estimator of integrated volatility as the time interval between observation vanishes, our simulation studies show that in finite samples it
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Empirical results for daily crude oil and gold futures show that the co-jumps of the two futures have significant impacts on future co-volatility, but that the impact is negligible
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