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Modeling and Forecasting Realized Volatility

by Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys , 2002
"... this paper is built. First, although raw returns are clearly leptokurtic, returns standardized by realized volatilities are approximately Gaussian. Second, although the distributions of realized volatilities are clearly right-skewed, the distributions of the logarithms of realized volatilities are a ..."
Abstract - Cited by 549 (50 self) - Add to MetaCart
-frequency models, we find that our simple Gaussian VAR forecasts generally produce superior forecasts. Furthermore, we show that, given the theoretically motivated and empirically plausible assumption of normally distributed returns conditional on the realized volatilities, the resulting lognormal-normal mixture

Bayesian Analysis of Stochastic Volatility Models

by Eric Jacquier, Nicholas G. Polson, Peter E. Rossi , 1994
"... this article is to develop new methods for inference and prediction in a simple class of stochastic volatility models in which logarithm of conditional volatility follows an autoregressive (AR) times series model. Unlike the autoregressive conditional heteroscedasticity (ARCH) and gener- alized ARCH ..."
Abstract - Cited by 601 (26 self) - Add to MetaCart
this article is to develop new methods for inference and prediction in a simple class of stochastic volatility models in which logarithm of conditional volatility follows an autoregressive (AR) times series model. Unlike the autoregressive conditional heteroscedasticity (ARCH) and gener- alized

Specification Analysis of Affine Term Structure Models

by Qiang Dai, Kenneth J. Singleton - JOURNAL OF FINANCE , 2000
"... This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs55). Within the family of ATSMs there is a tradeoff between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized by ou ..."
Abstract - Cited by 596 (36 self) - Add to MetaCart
This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs55). Within the family of ATSMs there is a tradeoff between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized

A yield-factor model of interest rates

by Darrell Duffie - Math. Finance , 1996
"... This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a matur ..."
Abstract - Cited by 665 (23 self) - Add to MetaCart
This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a

No Contagion, Only Interdependence: Measuring Stock Market Co-Movements

by Kristin J. Forbes, Roberto Rigobon - Journal of Finance , 2001
"... Heteroscedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market co-movement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are ..."
Abstract - Cited by 485 (15 self) - Add to MetaCart
are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash

The distribution of realized exchange rate volatility,

by Torben G Andersen , Francis X Diebold , Tim Bollerslev , Paul Labys - Journal of the American Statistical Association , 2001
"... Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximatel ..."
Abstract - Cited by 333 (29 self) - Add to MetaCart
approximately free of measurement error under general conditions, which we discuss in detail. Hence, for practical purposes, we may 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

Market liquidity and funding liquidity.

by Markus K Brunnermeier , Heje Lasse , Pedersen , Franklin Allen , Yakov Amihud , David Blair , Bernard Dumas , Denis Gromb , Charles Johns , Christian Julliard , John Kambhu , Filippos Markus Konz , Pa-Pakonstantinou , Ketan Patel , Guillaume Plantin , Jeremy Stein , Dimitri Vayanos , Jiang Wang , Pierre-Olivier Weill , 2009
"... Abstract We provide a model that links a assets' market liquidity -i.e., the ease of trading it -and traders' funding liquidity -i.e., their availability of funds. Traders provide market liquidity and their ability to do so depends on their funding. Conversely, traders' funding, i.e. ..."
Abstract - Cited by 440 (13 self) - Add to MetaCart
.e., their capital and the margins they are charged, depend on the assets' market liquidity. We show that under certain conditions margins are destabilizing and market liquidity and funding liquidity are mutually reinforcing, leading to liquidity spirals. The model explains the empirically documented features

Evaluating Interval Forecasts

by Peter F. Christoffersen, Anil Bera, Jeremy Berkowitz, Tim Bollerslev, Frank Diebold, Lorenzo Giorgianni, Jin Hahn, Jose Lopez, Roberto Mariano - International Economic Review , 1997
"... This paper is intended to address the deficiency by clearly defining what is meant by a "good" interval forecast, and describing how to test if a given interval forecast deserves the label "good". One of the motivations of Engle's (1982) classic paper was to form dynamic int ..."
Abstract - Cited by 364 (11 self) - Add to MetaCart
interval forecasts around point predictions. The insight was that the intervals should be narrow in tranquil times and wide in volatile times, so that the occurrences of observations outside the interval forecast would be spread out over the sample and not come in clusters. An interval forecast that 3

Exchange Rate Pass-Through into Import Prices: A Macro or MICRO PHENOMENON

by José Manuel Campa, Linda S. Goldberg - WORKING PAPER, IESE BUSINESS SCHOOL AND FEDERAL RESERVE BANK OF , 2002
"... Exchange rate regime optimality, as well as monetary policy effectiveness, depends on the tightness of the link between exchange rate movements and import prices. Recent debates hinge on whether producer-currency-pricing (PCP) or local currency pricing (LCP) of imports is more prevalent, and on whet ..."
Abstract - Cited by 325 (14 self) - Add to MetaCart
, and on whether exchange rate passthrough rates are endogenous to a country’s macroeconomic conditions. We provide cross-country and time series evidence on both of these issues for the imports of twenty-five OECD countries. Across the OECD and especially within manufacturing industries, there is compelling

On the Detection and Estimation of Long Memory in Stochastic Volatility

by F. Jay Breidt, Nuno Crato, Pedro De Lima , 1995
"... Recent studies have suggested that stock markets' volatility has a type of long-range dependence that is not appropriately described by the usual Generalized Autoregressive Conditional Heteroskedastic (GARCH) and Exponential GARCH (EGARCH) models. In this paper, different models for describing ..."
Abstract - Cited by 214 (6 self) - Add to MetaCart
Recent studies have suggested that stock markets' volatility has a type of long-range dependence that is not appropriately described by the usual Generalized Autoregressive Conditional Heteroskedastic (GARCH) and Exponential GARCH (EGARCH) models. In this paper, different models for describing
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