Measuring and Modeling Risk Using High-Frequency Data
dc.contributor.author | Härdle, Wolfgang Karl | |
dc.contributor.author | Hautsch, Nikolaus | |
dc.contributor.author | Pigorsch, Uta | |
dc.date.accessioned | 2017-06-15T23:44:14Z | |
dc.date.available | 2017-06-15T23:44:14Z | |
dc.date.created | 2008-07-02 | |
dc.date.issued | 2008-06-26 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4787 | |
dc.description.abstract | 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 of 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 incorporation and of the DJIA index. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Realized Volatility | eng |
dc.subject | Realized Betas | eng |
dc.subject | Volatility Modeling | eng |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Measuring and Modeling Risk Using High-Frequency Data | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10089730 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4135 | |
local.edoc.container-title | Sonderforschungsbereich 649: Ökonomisches Risiko | |
local.edoc.pages | 23 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-volume | 2008 | |
local.edoc.container-issue | 45 | |
local.edoc.container-year | 2008 | |
local.edoc.container-erstkatid | 2195055-6 |