Description | The development of financial econometrics as a field of research has been For practical purposes, we structure the project into two subprojects. In |
Additional Informations | unspecified |
Commencement Date | 1 October 2012 |
Contributors | Fengler, Matthias (Project Manager); Buncic, Daniel (Project Manager) & Audrino, Francesco (Project Manager) |
Datestamp | 24 Sep 2019 13:32 |
Completion Date | 30 September 2015 |
Publications |
Fengler, Matthias & Okhrin, Ostap
(2016)
Managing Risk with a Realized Copula Parameter.
Computational Statistics & Data Analysis,
100
131-152.
ISSN 0167-9473
Audrino, Francesco & Knaus, Simon: Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. Discussion paper series, 2012, 1224. Corsi, Fulvio; Peluso, Stefano & Audrino, Francesco (2015) Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30 (3). 377-397. ISSN 0883-7252 Fengler, Matthias; Mammen, Enno & Vogt, Michael (2015) Specification and structural break tests for additive models with applications to realized variance data. Journal of Econometrics, 188 (1). 196-218. ISSN 0304-4076 Fengler, Matthias & Gisler, Katja (2015) A variance spillover analysis without covariances: what do we miss? Journal of International Money and Finance, 51 174-195. ISSN 0261-5606 Audrino, Francesco & Knaus, Simon (2014) Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. Econometric Reviews, (35). 1485-1521. ISSN 0747-4938 Audrino, Francesco; Camponovo, Lorenzo & Roth, Constantin: Testing the lag structure of assets' realized volatility dynamics. , 2015, Fengler, Matthias & Herwartz, Helmut: Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. , 2015, Buncic, Daniel & Gisler, Katja: Global Equity Market Volatility Spillovers: A Broader Role for the United States. SEPS Discussion Paper, 2015, Discussion Paper no. 2015-08. Audrino, Francesco & Hu, Yujia (2016) Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. Econometrics, 4 (1). 8. ISSN 2225-1146 |
HSG Profile Area | SEPS - Quantitative Economic Methods |
Keywords | Realized covariance, realized volatility, time-varying parameter models, forecasting, Bayesian variable selection, option pricing |
Methods | Financial Econometrics |
Funders | SNF – National Research Project |
Id | 216969 |
Project Range | Institute/School |
Reference Number | 100018_144033 |
Project Status | ongoing |
Subjects | other research area |
Topics | Financial Econometrics; Realized volatility; Option pricing |
Project Type | applied research project |
![]() | Edit Item |