Arbeitspapier
Measuring and modeling risk using high-frequency data
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure of volatility. Moreover, non-parametric measures af systematic risk are attainable, that can straightforwardly be used to model the commonly observed time-variation in the betas. The discussion of these new measures and methods is accompanied by an empirical illustration using high-frequency data of the IBM incorpration and the DJIA index.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2008,045
- Klassifikation
-
Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Thema
-
Realized volatility
realized betas
volatility modeling
Finanzmarkt
Volatilität
Messung
Beta-Faktor
Zeitreihenanalyse
Ökonometrisches Modell
Schätzung
Börsenumsatz
Mikrostrukturanalyse
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Härdle, Wolfgang Karl
Hautsch, Nikolaus
Pigorsch, Uta
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Härdle, Wolfgang Karl
- Hautsch, Nikolaus
- Pigorsch, Uta
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2008