We show that any factor structure for stock returns can be naturally translated into a factor structure for return volatility. We use this structure to propose a methodology for estimating forward-looking variances and covariances of both factors and individual assets from option prices at a high frequency. We implement the model empirically and show that our forward-looking volatility estimates provide useful predictions of rare disasters for both factors and individual stocks
Risk and, thus, the volatility of financial asset prices plays a major role in financial decision ma...
markdownabstract__Abstract__ Modelling covariance structures is known to suffer from the curse of...
The covariation of option-implied disaster concern of the market index and individual stocks allows ...
We show that any factor structure for stock returns can be naturally translated into a factor struct...
In this dissertation, I study standard models, but investigate the necessity of (possibly large) dev...
This dissertation provides three self-contained empirical studies for investigating the role of vola...
Defence date: 19 December 2016Examining Board: Professor Peter Reinhard Hansen, Supervisor, Universi...
There is a growing literature on the realized volatility (View the MathML source) forecasting of ass...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
The three main purposes of forecasting volatility are for risk management, for asset alloca-tion, an...
This paper incorporates a time-varying severity of disasters in the hypothesis proposed by Rietz (19...
In this dissertation, I study standard models, but investigate the necessity of (possibly large) dev...
In this dissertation, I study model misspecification in applications of dynamic factor models to fin...
Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics...
This dissertation consists of two essays on disaster risk and equity return predictability. The firs...
Risk and, thus, the volatility of financial asset prices plays a major role in financial decision ma...
markdownabstract__Abstract__ Modelling covariance structures is known to suffer from the curse of...
The covariation of option-implied disaster concern of the market index and individual stocks allows ...
We show that any factor structure for stock returns can be naturally translated into a factor struct...
In this dissertation, I study standard models, but investigate the necessity of (possibly large) dev...
This dissertation provides three self-contained empirical studies for investigating the role of vola...
Defence date: 19 December 2016Examining Board: Professor Peter Reinhard Hansen, Supervisor, Universi...
There is a growing literature on the realized volatility (View the MathML source) forecasting of ass...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
The three main purposes of forecasting volatility are for risk management, for asset alloca-tion, an...
This paper incorporates a time-varying severity of disasters in the hypothesis proposed by Rietz (19...
In this dissertation, I study standard models, but investigate the necessity of (possibly large) dev...
In this dissertation, I study model misspecification in applications of dynamic factor models to fin...
Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics...
This dissertation consists of two essays on disaster risk and equity return predictability. The firs...
Risk and, thus, the volatility of financial asset prices plays a major role in financial decision ma...
markdownabstract__Abstract__ Modelling covariance structures is known to suffer from the curse of...
The covariation of option-implied disaster concern of the market index and individual stocks allows ...
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