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

Dieses Objekt wird bereitgestellt von:
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

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