Essays On Volatility Forecasting
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Essays On Volatility Forecasting
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Author : Dimos S. Kambouroudis
language : en
Publisher:
Release Date : 2012
Essays On Volatility Forecasting written by Dimos S. Kambouroudis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Accounting and price fluctuations categories.
Three Essays On Volatility Forecasting
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Author : Xin Cheng
language : en
Publisher:
Release Date : 2010
Three Essays On Volatility Forecasting written by Xin Cheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Options (Finance) categories.
Essays On Volatility Forecasting
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Author : Dimos S. Kambouroudis
language : en
Publisher:
Release Date : 2012
Essays On Volatility Forecasting written by Dimos S. Kambouroudis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Accounting and price fluctuations categories.
Stock market volatility has been an important subject in the finance literature for which now an enormous body of research exists. Volatility modelling and forecasting have been in the epicentre of this line of research and although more than a few models have been proposed and key parameters on improving volatility forecasts have been considered, finance research has still to reach a consensus on this topic. This thesis enters the ongoing debate by carrying out empirical investigations by comparing models from the current pool of models as well as exploring and proposing the use of further key parameters in improving the accuracy of volatility modelling and forecasting. The importance of accurately forecasting volatility is paramount for the functioning of the economy and everyone involved in finance activities. For governments, the banking system, institutional and individual investors, researchers and academics, knowledge, understanding and the ability to forecast and proxy volatility accurately is a determining factor for making sound economic decisions. Four are the main contributions of this thesis. First, the findings of a volatility forecasting model comparison reveal that the GARCH genre of models are superior compared to the more 'simple' models and models preferred by practitioners. Second, with the use of backward recursion forecasts we identify the appropriate in-sample length for producing accurate volatility forecasts, a parameter considered for the first time in the finance literature. Third, further model comparisons are conducted within a Value-at-Risk setting between the RiskMetrics model preferred by practitioners, and the more complex GARCH type models, arriving to the conclusion that GARCH type models are dominant. Finally, two further parameters, the Volatility Index (VIX) and Trading Volume, are considered and their contribution is assessed in the modelling and forecasting process of a selection of GARCH type models. We discover that although accuracy is improved upon, GARCH type forecasts are still superior.
Three Essays On Volatility Forecasting And Forecast Evaluation
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Author : Onno Kleen
language : en
Publisher:
Release Date : 2020
Three Essays On Volatility Forecasting And Forecast Evaluation written by Onno Kleen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Essays On Financial Volatility Forecasting
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Author : Katina Tsakou
language : en
Publisher:
Release Date : 2016
Essays On Financial Volatility Forecasting written by Katina Tsakou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Essays On Machine Learning In Volatility Forecasting
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Author : Eghbal Rahimikia
language : en
Publisher:
Release Date : 2023
Essays On Machine Learning In Volatility Forecasting written by Eghbal Rahimikia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
Essays On Realised Volatility Forecasting For International Stock Markets
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Author : Yi Ding
language : en
Publisher:
Release Date : 2021
Essays On Realised Volatility Forecasting For International Stock Markets written by Yi Ding and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Volatility And Time Series Econometrics
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Author : Tim Bollerslev
language : en
Publisher: OUP Oxford
Release Date : 2010-02-11
Volatility And Time Series Econometrics written by Tim Bollerslev and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-11 with Business & Economics categories.
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Essays On Cojumps Hedging And Volatility Forecasting
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Author : Lyudmyla Hvozdyk
language : en
Publisher:
Release Date : 2012
Essays On Cojumps Hedging And Volatility Forecasting written by Lyudmyla Hvozdyk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Essays On The Forecasting Power Of Implied Volatility
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Author : Prithviraj S. Banerjee
language : en
Publisher:
Release Date : 2008
Essays On The Forecasting Power Of Implied Volatility written by Prithviraj S. Banerjee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.