Exchange Rate Returns Standardized By Realized Volatility Are Nearly Gaussian PDF Download
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Author | : Torben G. Andersen |
Publisher | : |
Total Pages | : 36 |
Release | : 2000 |
Genre | : Foreign exchange futures |
ISBN | : |
Download Exchange Rate Returns Standardized by Realized Volatility are (nearly) Gaussian Book in PDF, ePub and Kindle
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we show that returns standardized instead by the realized volatilities of Andersen, Bollerslev, Diebold and Labys (1999) are very nearly Gaussian. We perform both univariate and multivariate analyses, we trace the different effects of the different standardizations to differences in information sets, and we draw implications for the presence of jumps in exchange rate diffusions.
Author | : Torben G. Andersen |
Publisher | : |
Total Pages | : 21 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Exchange Rate Returns Standardized by Realized Volatily are (nearly) Gaussian Book in PDF, ePub and Kindle
Author | : Torben G. Anderson |
Publisher | : |
Total Pages | : 64 |
Release | : 1999 |
Genre | : Foreign exchange rates |
ISBN | : |
Download The Distribution of Exchange Rate Volatility Book in PDF, ePub and Kindle
Abstract: Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates are also approximately free of measurement error under general conditions, which we delineate. Hence, for all practical purposes, we can treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and highly.
Author | : Luc Bauwens |
Publisher | : John Wiley & Sons |
Total Pages | : 566 |
Release | : 2012-04-17 |
Genre | : Business & Economics |
ISBN | : 0470872519 |
Download Handbook of Volatility Models and Their Applications Book in PDF, ePub and Kindle
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.
Author | : Antoine Petrus Cornelius van der Ploeg |
Publisher | : Rozenberg Publishers |
Total Pages | : 358 |
Release | : 2006 |
Genre | : |
ISBN | : 9051705778 |
Download Stochastic volatility and the pricing of financial derivatives Book in PDF, ePub and Kindle
Author | : Sassan Alizadeh |
Publisher | : |
Total Pages | : 82 |
Release | : 2001 |
Genre | : Economics |
ISBN | : |
Download High- and Low-frequency Exchange Rate Volatility Dynamics Book in PDF, ePub and Kindle
We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, and empirically that the range is not only a highly efficient volatility proxy, but also that it is approximately Gaussian and robust to microstructure noise. The good properties of the range imply that range-based Gaussian quasi-maximum likelihood estimation produces simple and highly efficient estimates of stochastic volatility models and extractions of latent volatility series. We use our method to examine the dynamics of daily exchange rate volatility and discover that traditional one-factor models are inadequate for describing simultaneously the high- and low-frequency dynamics of volatility. Instead, the evidence points strongly toward two-factor models with one highly persistent factor and one quickly mean-reverting factor.
Author | : George M. Constantinides |
Publisher | : Newnes |
Total Pages | : 1732 |
Release | : 2013-01-21 |
Genre | : Business & Economics |
ISBN | : 0444594655 |
Download Handbook of the Economics of Finance SET:Volumes 2A & 2B Book in PDF, ePub and Kindle
This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. Covers core and newly-developing fields Explains how the 2008 financial crises affected theoretical and empirical research Exposes readers to a wide range of subjects described and analyzed by the best scholars
Author | : Jie Zhou |
Publisher | : Springer Science & Business Media |
Total Pages | : 1219 |
Release | : 2009-06-26 |
Genre | : Computers |
ISBN | : 3642024661 |
Download Complex Sciences Book in PDF, ePub and Kindle
I was invited to join the Organizing Committee of the First International Conference on Complex Sciences: Theory and Applications (Complex 2009) as its ninth member. At that moment, eight distinguished colleagues, General Co-chairs Eugene Stanley and Gaoxi Xiao, Technical Co-chairs János Kertész and Bing-Hong Wang, Local Co-chairs Hengshan Wang and Hong-An Che, Publicity Team Shi Xiao and Yubo Wang, had spent hundreds of hours pushing the conference half way to its birth. Ever since then, I have been amazed to see hundreds of papers flooding in, reviewed and commented on by the TPC members. Finally, more than 200 contributions were - lected for the proceedings currently in your hands. They include about 200 papers from the main conference (selected from more than 320 submissions) and about 33 papers from the five collated workshops: Complexity Theory of Art and Music (COART) Causality in Complex Systems (ComplexCCS) Complex Engineering Networks (ComplexEN) Modeling and Analysis of Human Dynamics (MANDYN) Social Physics and its Applications (SPA) Complex sciences are expanding their colonies at such a dazzling speed that it - comes literally impossible for any conference to cover all the frontiers.
Author | : Torben Gustav Andersen |
Publisher | : Springer Science & Business Media |
Total Pages | : 1045 |
Release | : 2009-04-21 |
Genre | : Business & Economics |
ISBN | : 3540712976 |
Download Handbook of Financial Time Series Book in PDF, ePub and Kindle
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.
Author | : Yacine Ait-Sahalia |
Publisher | : Elsevier |
Total Pages | : 809 |
Release | : 2009-10-19 |
Genre | : Business & Economics |
ISBN | : 0080929842 |
Download Handbook of Financial Econometrics Book in PDF, ePub and Kindle
This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections