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Comparison of Volatility Measures: A Risk Management Perspective
In this paper we address the issue of forecasting Value-at-Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility, two-scales realized volatility, realized
Intra-Daily Volume Modeling and Prediction for Algorithmic Trading
TLDR
A dynamic model for intra-daily volumes that captures salient features of the series such as time series dependence, intra- daily periodicity and volume asymmetry is proposed.
Vector Multiplicative Error Models:Representation and Inference
The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with
The effects of trading activity on market volatility
The paper re-examines the question of excessive implied persistence of volatility estimates when GARCH type models are used. Ten actively traded US stocks are considered and as already established in
Mixture Processes for Financial Intradaily Durations
The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
Abstract We model the interrelations of equity market volatility in eight East Asian countries before, during, and after the Asian currency crisis. Using a new class of asymmetric volatility
A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics
The Multiplicative Error Model introduced by Engle (2002) for non-negative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with
Multiplicative Error Models
Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention
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