Artikel
Estimating the volatility of asset pricing factors
Models based on factors such as size or value are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid assets, this measure is difficult to obtain for asset pricing factors such as size and value that include smaller illiquid stocks that are not traded at a high frequency. Here, we provide a simple approach to estimate the volatility of these factors. The efficacy of this approach is demonstrated using Monte Carlo simulations and forecasts of the market volatility.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Forecasting ; ISSN: 1099-131X ; Volume: 40 ; Year: 2021 ; Issue: 2 ; Pages: 269-278 ; Hoboken, NJ: Wiley
- Subject
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asset pricing
factor models
realized volatility
volatility forecasting
- Event
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Geistige Schöpfung
- (who)
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Becker, Janis
Leschinski, Christian
- Event
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Veröffentlichung
- (who)
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Wiley
- (where)
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Hoboken, NJ
- (when)
-
2021
- DOI
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doi:10.1002/for.2713
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Becker, Janis
- Leschinski, Christian
- Wiley
Time of origin
- 2021
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