Realized Volatility, Jumps and the Interface between Financial Markets and the Real Economy
已实现的波动、跳跃以及金融市场与实体经济之间的衔接
基本信息
- 批准号:0550929
- 负责人:
- 金额:--
- 依托单位:
- 依托单位国家:美国
- 项目类别:Continuing Grant
- 财政年份:2006
- 资助国家:美国
- 起止时间:2006-03-01 至 2011-02-28
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
The recent availability of high-frequency intraday asset prices and real-time economic announcement data for a host of different financial markets and instruments has spurred a large and rapidly growing literature concerned with the statistical and empirical analysis of this new rich source of data. This project aims to further expand on our ability to extract useful information about important economic phenomena from such data through the development of new and general econometric procedures and modeling paradigms, coupled with specific empirical applications. In particular, building on the investigators' earlier work, they seek to obtain: (i) new robust non-parametric procedures for disentangling the day-today price variation into continuous and discontinuous components, and corresponding procedures for modeling, forecasting and pricing continuous and jump risks; (ii) a better understanding of the type of events, or news, that induces large price movements, or jumps, in financial asset prices and their relation to the macro economy; (iii) new and improved realized variation measures for better accommodating market microstructure complications and other frictions in the high-frequency data; (iv) a better understanding of the empirical linkages between economic fundamentals and asset markets, as illuminated by the simultaneous high-frequency response of multiple cross-country markets to specific macroeconomic news announcements; (v) new and improved procedures for measuring and modeling time-varying correlations and beta factor loadings and a better understanding of the macroeconomic determinants behind the apparent temporal dependencies.Broader Impacts: It is by now widely accepted that financial market volatility is predictable, and that this predictability has profound practical implications for asset pricing, risk management, monitoring, and oversight. In theory, the use of more frequently sampled data should result in better volatility measurements and more accurate forecasts. However, actual high-frequency financial data are beset by a host of complications relative to the stylized parametric models employed in the existing (G)ARCH and stochastic volatility literature and only very recently have some of the gains, expected to be harnessed from the use of finer sampled intraday data, started to materialize empirically. The realized volatility measures and forecasting models developed in the invesetigators' prior NSF-sponsored research have been at the forefront of these developments. The present proposal seeks to expand on these ideas in several important directions, including new robust multivariate procedures for measuring and forecasting realized correlations and factor loadings, along with the development and use of non-parametric measures for assessing the contribution to the overall price variation attributable to jumps, or discontinuities, in turn allowing for separate modeling, pricing and hedging of the continuous and discontinuous part of the price process. Importantly, the investigators also seek to obtain a better understanding of the type of economic news that induces large price movements in financial markets, both across different markets and internationally, and as such hope to shed new light on the fundamental linkages between asset markets and the real economy across business cycles. The general results of the proposed activities should therefore be of relevance to applied macroeconomists, time series econometricians, applied statisticians, financial researchers, regulators, and practitioners alike.
许多不同的金融市场和工具的高频盘中资产价格和实时经济公告数据的最新可用性刺激了与这一新丰富数据来源的统计和经验分析有关的大量,快速增长的文献。该项目旨在进一步扩展我们通过开发新的和一般的计量经济学程序和建模范式以及特定的经验应用来从此类数据中提取有关重要经济现象的有用信息的能力。特别是,在调查人员较早的工作的基础上,他们寻求获得:(i)将日期变化分解为连续和不连续的组件的新的强大非参数程序,以及用于建模,预测,预测和定价连续和跳跃风险的相应程序; (ii)更好地理解事件类型或新闻的类型,这些事件类型或新闻的价格转移或跳高金融资产价格及其与宏观经济的关系; (iii)新的和改进的已实现的变化措施,以更好地适应高频数据中的市场微观结构并发症和其他摩擦; (iv)更好地理解经济基本面和资产市场之间的经验联系,这是由多个越野市场对特定宏观经济新闻公告的高频响应的同时启示的; (v)用于测量和建模时变的相关性和β因子负载以及对明显时间依赖性背后的宏观经济决定因素的新的和改进的程序。BROADER的影响:现在正是通过广泛地接受金融市场的波动性,并且这种可预测的能力是可预测的,并且对实践性的实践启示具有对资产管理的实践性,并且对风险管理,并进行了范围,并进行了范围管理,并进行了范围,并进行了范围,并进行了范围,并进行了范围,并且可以预测。从理论上讲,使用更频繁的采样数据应导致更好的波动率测量和更准确的预测。但是,相对于现有的(G)拱门和随机波动性文献中使用的风格化参数模型的并发症,实际的高频财务数据受到了困扰,直到最近才获得一些收益,预计将通过使用精细的静脉内静脉内的数据来利用一些收益,从而开始实现经验化。在InveseTigators先前的NSF赞助的研究中开发的实现的波动率指标和预测模型一直处于这些发展的最前沿。本提案旨在在几个重要方向上扩展这些想法,包括用于测量和预测实现的相关性和因子负荷的新的强大多元程序,以及对评估对跳跃总体价格变化的贡献的非参数措施的开发和使用,可以使持续和持续的建模构建范围,并可以分开造型,并逐步进行分开的范围,并逐步进行分开的构建效果。重要的是,调查人员还试图更好地了解在不同市场和国际上引起金融市场上大型价格变动的经济新闻类型,因此希望对资产市场与整个商业周期的现实经济之间的基本联系有了新的启示。因此,拟议活动的总体结果应与应用宏观经济人,时间序列计算师,应用统计学家,财务研究人员,监管机构和从业人员相关。
项目成果
期刊论文数量(0)
专著数量(0)
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会议论文数量(0)
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Tim Bollerslev其他文献
Equity Clusters through the Lens of Realized Semicorrelations
从已实现半相关的角度看股票集群
- DOI:
10.2139/ssrn.3961798 - 发表时间:
2021 - 期刊:
- 影响因子:0
- 作者:
Tim Bollerslev;Andrew J. Patton;Haozhe Zhang - 通讯作者:
Haozhe Zhang
Realized Semibetas: Signs of Things to Come
已实现的半贝塔:未来的迹象
- DOI:
- 发表时间:
2020 - 期刊:
- 影响因子:0
- 作者:
Tim Bollerslev;Andrew J. Patton;R. Quaedvlieg - 通讯作者:
R. Quaedvlieg
Time-Varying Beta : The Heterogeneous Autoregressive Beta Model
时变 Beta 值:异质自回归 Beta 模型
- DOI:
- 发表时间:
2011 - 期刊:
- 影响因子:0
- 作者:
George Tauchen;Tim Bollerslev - 通讯作者:
Tim Bollerslev
Realized Return Volatility, Asset Pricing, and Risk Management
已实现回报波动性、资产定价和风险管理
- DOI:
- 发表时间:
2006 - 期刊:
- 影响因子:0
- 作者:
T. Andersen;Tim Bollerslev - 通讯作者:
Tim Bollerslev
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects and Jumps: Theory and Testable Distributional Implications*
受杠杆效应和跳跃影响的连续时间波动率模型的无套利半鞅限制:理论和可测试的分布含义*
- DOI:
- 发表时间:
2005 - 期刊:
- 影响因子:0
- 作者:
T. Andersen;Tim Bollerslev;Dobrislav Dobrev - 通讯作者:
Dobrislav Dobrev
Tim Bollerslev的其他文献
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{{ truncateString('Tim Bollerslev', 18)}}的其他基金
Estimation of Jump-Tails: Theory and Applications
跳尾估计:理论与应用
- 批准号:
0957330 - 财政年份:2010
- 资助金额:
-- - 项目类别:
Continuing Grant
Uncovering Long-Run Economic Relationships in High-Frequency Financial Data -- An Accomplishment Based Renewal
揭示高频金融数据中的长期经济关系——基于成就的更新
- 批准号:
0111802 - 财政年份:2001
- 资助金额:
-- - 项目类别:
Standard Grant
Uncovering Long-Run Economic Relationships in High-Frequency Financial Data
揭示高频金融数据中的长期经济关系
- 批准号:
9730440 - 财政年份:1998
- 资助金额:
-- - 项目类别:
Continuing Grant
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