1 - 6 of 6 articles
AbstractWe consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward jump in an asset's price results in increased...
AbstractThe volatility of financial returns is characterized by rapid and large increments. We propose an extension of the Heterogeneous Autoregressive model to incorporate jumps into the dynamics of the ex post volatility measures. Using the realized range measures of 36 NYSE stocks, we show...
AbstractWe characterize equity return volatility connectedness in the network of major American and European financial institutions, 2004–2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007–2008 the...
AbstractIntraday sources of data have proved to be effective for dynamic volatility and tail risk estimation. Expected shortfall (ES) is a tail risk measure, which is now recommended by the Basel Committee, involving a conditional expectation that can be semi-parametrically estimated via an...
AbstractThis article proposes an infinite hidden Markov model (iHMM) to detect, date stamp, and estimate speculative bubbles. Three features make this new approach attractive to practitioners. First, the iHMM is capable of capturing the complex nonlinear dynamics of bubble behaviors because it...
AbstractThis paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex postvariation in asset prices as well as option-implied volatility. We work in the flexible quantile regression framework and rely on recently...
Read and print from thousands of top scholarly journals.
Continue with Facebook
Log in with Microsoft
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.