ERN: Time-Series Models (Single) (Topic)最新文献_第8页

Conditional Jumps in Volatility and Their Economic Determinants 波动性的条件跳跃及其经济决定因素

ERN: Time-Series Models (Single) (Topic) Pub Date : 2011-09-09 DOI: 10.2139/ssrn.1924812

M. Caporin, E. Rossi, Paolo Santucci de Magistris

{"title":"Conditional Jumps in Volatility and Their Economic Determinants","authors":"M. Caporin, E. Rossi, Paolo Santucci de Magistris","doi":"10.2139/ssrn.1924812","DOIUrl":"https://doi.org/10.2139/ssrn.1924812","url":null,"abstract":"The volatility of financial returns is affected by rapid and large increments. Such movements can be hardly generated by a pure diffusive process for stochastic volatility. On the contrary jumps in volatility are important because they allow for rapid increases, like those observed during stock market crashes. We propose an extension of HAR model for estimating the presence of jumps in volatility, using the realized-range measure as a volatility proxy. By focusing on a set of 36 NYSE stocks, we show that, once that squared jumps in prices are disentangled from integrated variance, then there is a positive probability of jumps in volatility, conditional on the past information set. We then focus on the contribution of jumps during periods of financial turmoil. We analyze the dependence between the first principal component of the volatility jumps with a set of financial covariates including VIX, S&P500 volume, CDS, and Federal Fund rates. We observe that CDS captures large part of the expected jumps moves, verifying the common interpretation that large and sudden increases in volatility in stock markets over some days in the recent financial crisis have been caused by credit deterioration of US bank sector. Finally, we extend the model incorporating the credit-default swap in the dynamics of the jump size and intensity. The estimates confirm the significant contribution of the credit-default swap to the dynamics of the volatility jump size.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114173084","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Caught in the Housing Crash: Model Failure or Management Failure? 陷入住房危机：模式失败还是管理失败？

ERN: Time-Series Models (Single) (Topic) Pub Date : 2011-05-01 DOI: 10.2139/ssrn.1326427

G. Löffler

引用次数: 8

Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps 离散和连续时间模型中的波动:关于大跳跃和小跳跃的新证据综述

ERN: Time-Series Models (Single) (Topic) Pub Date : 2010-10-01 DOI: 10.2139/ssrn.1856079

D. Duong, Norman R. Swanson

{"title":"Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps","authors":"D. Duong, Norman R. Swanson","doi":"10.2139/ssrn.1856079","DOIUrl":"https://doi.org/10.2139/ssrn.1856079","url":null,"abstract":"The topic of volatility measurement and estimation is central to financial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical …findings from the literature. In particular, in the first sections of this paper, we discuss important developments in volatility models, with focus on time varying and stochastic volatility as well as nonparametric volatility estimation. The models discussed share the common feature that volatilities are unobserved, and belong to the class of missing variables. We then provide empirical evidence on \"small\" and \"large\" jumps from the perspective of their contribution to overall realized variation, using high frequency price return data on 25 stocks in the DOW 30. Our \"small\" and \"large\" jump variations are constructed at three truncation levels, using extant methodology of Barndorff-Nielsen and Shephard (2006), Andersen, Bollerslev and Diebold (2007) and Aït-Sahalia and Jacod (2009a, b, c). Evidence of jumps is found in around 22.8% of the days during the 1993-2000 period, much higher than the corresponding …gure of 9.4% during the 2001-2008 period. While the overall role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a proportion of overall jumps has actually increased in the 2000s.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125415516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 16

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations 基于动态条件关联的条件CAPM的复活

ERN: Time-Series Models (Single) (Topic) Pub Date : 2010-07-01 DOI: 10.2139/ssrn.1364865

Turan G. Bali, R. Engle

引用次数: 18

Realized Volatility and Overnight Returns 已实现波动率和隔夜回报

ERN: Time-Series Models (Single) (Topic) Pub Date : 2010-07-01 DOI: 10.2139/ssrn.1756705

Katja Ahoniemi, Markku Lanne

引用次数: 9

Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models 用信号加噪声模型估计资产收益波动性的持久性

ERN: Time-Series Models (Single) (Topic) Pub Date : 2010-05-01 DOI: 10.2139/ssrn.1639471

G. Caporale, L. Gil‐Alana

引用次数: 5

Coordination Frictions and Job Heterogeneity: A Discrete Time Analysis 协调摩擦与工作异质性:一个离散时间分析

ERN: Time-Series Models (Single) (Topic) Pub Date : 2010-04-12 DOI: 10.2139/ssrn.1588066

J. Kennes, Daniel le Maire

{"title":"Coordination Frictions and Job Heterogeneity: A Discrete Time Analysis","authors":"J. Kennes, Daniel le Maire","doi":"10.2139/ssrn.1588066","DOIUrl":"https://doi.org/10.2139/ssrn.1588066","url":null,"abstract":"This paper develops and extends a dynamic, discrete time, job to worker matching model in which jobs are heterogeneous in equilibrium. The key assumptions of this economic environment are (i) matching is directed and (ii) coordination frictions lead to heterogeneous local labor markets. We de- rive a number of new theoretical results, which are essential for the empirical application of this type of model to matched employer-employee microdata. First, we o¤er a robust equilibrium concept in which there is a continu- ous dispersion of job productivities and wages. Second, we show that our model can be readily solved with continuous exogenous worker heterogene- ity, where high type workers (high outside options and productivity) earn higher wages in high type jobs and are hired at least as frequently to the better job types as low type workers (low outside options and productivity). Third, we demonstrate that the tractability of this framework is enhanced by analyzing and proving the equivalence of \"seller auctions\" and \"buyer posting\". We also prove a related result concerning the equivalence of buyer posting and seller posting when buyers di¤er continuously. Finally, we show that all of these results preserve the essential tractability of the baseline model with aggregate shocks. Therefore, we o¤er a parsimonious, general equilibrium framework in which to study the process by which the contin- uous dispersion of wages and productivities varies over the business cycle for a large population of workers with continuous dispersion of unobserved worker types.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"103 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126897280","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10

Do Ethnic Minorities 'Stretch' Their Time? Evidence from the UK Time Use Survey 少数民族是否“延长”了他们的时间?来自英国时间使用调查的证据

ERN: Time-Series Models (Single) (Topic) Pub Date : 2010-04-01 DOI: 10.2139/ssrn.1633881

A. Zaiceva, K. Zimmermann

{"title":"Do Ethnic Minorities 'Stretch' Their Time? Evidence from the UK Time Use Survey","authors":"A. Zaiceva, K. Zimmermann","doi":"10.2139/ssrn.1633881","DOIUrl":"https://doi.org/10.2139/ssrn.1633881","url":null,"abstract":"This paper investigates the effect of ethnicity on time spent on overlapped household production, work and leisure activities employing the 2000-2001 UK Time Use Survey. We find that, unconditionally, white females manage to \"stretch\" their time the most by an additional 233 minutes per day and non-white men \"stretch\" their time the least. The three secondary activities that are most often combined with other (primary) activities in terms of time spent on them are social activities including resting, passive leisure and childcare. Regression results indicate that non-white ethnic minorities engage less in multitasking than whites, with Pakistani and Bangladeshi males spending the least time. The gap is present for both ethnic minority males and females, although females in general engage more in multitasking. The effect is also heterogeneous across different sub-groups. We then discuss several potential interpretations and investigate whether these differences in behavior may also relate to opportunity costs of non-market time, different preferences and tastes of ethnic minorities, integration experience, family composition, household productivity and other.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"327 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116121812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Performance of Time-Varying Correlation Estimation Methods 时变相关估计方法的性能

ERN: Time-Series Models (Single) (Topic) Pub Date : 2010-02-01 DOI: 10.2139/ssrn.1149412

Ahmet K. Karagozoglu, Michael Jacobs

{"title":"Performance of Time-Varying Correlation Estimation Methods","authors":"Ahmet K. Karagozoglu, Michael Jacobs","doi":"10.2139/ssrn.1149412","DOIUrl":"https://doi.org/10.2139/ssrn.1149412","url":null,"abstract":"This study evaluates and compares alternative time series correlation modeling techniques, using a broad database of 33 variables and 467 asset pairs in nine different asset classes. For each pair of assets a time-varying moving window correlation (MWC) is computed from different moving itional correlation (DCC) time series model, first documenting the closeness of various MWC estimates to DCC, and next evaluating the effectiveness of the models in a portfolio context. We consider four statistical measures of closeness to DCC. According to the concordance correlation coefficient, the Kolmogorov-Smirnov statistic, and the sign agreement test, across all asset pairs under consideration, the shorter to intermediate moving windows (252 days and below) tend to lie closest to DCC; whereas for the mean square error measure, longer windows tend to best match DCC. However, there are some patterns distinct to certain asset classes such as equity and credit, in which both mean square error and concordance correlation coefficient measures of closeness suggest that MWC match DCC estimates at shorter moving windows. In the portfolio management context, the economic closeness test based on 2,802 monthly rebalanced two-asset portfolios shows that generally MWCs are closer to DCC at the longer window lengths.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121267004","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimized vs. Sort-Based Portfolios 优化vs.基于分类的投资组合

ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-12-10 DOI: 10.2139/ssrn.1327004

Gerard Hoberg, I. Welch

引用次数: 13