Arbeitspapier
Estimating the volatility of asset pricing factors
Models based on factors such as size, value, or momentum 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 individual assets, this measure is not available for factor models, due to their construction from the CRSP data base that does not provide high frequency data and contains a large number of less liquid stocks. Here, we provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation strategy that is based on volatility timing.
- Sprache
-
Englisch
- Erschienen in
-
Series: Hannover Economic Papers (HEP) ; No. 631
- Klassifikation
-
Wirtschaft
Financial Econometrics
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
Asset Pricing
Realized Volatility
Factor Models
Volatility Forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Becker, Janis
Leschinski, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Becker, Janis
- Leschinski, Christian
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2018
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