| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12687 |
| DP12687 Risk Everywhere: Modeling and Managing Volatility | |
| Lasse Heje Pedersen | |
| 发表日期 | 2018-02-05 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Based on a unique high-frequency dataset for more than fifty commodities, currencies, equity indices, and fixed income instruments spanning more than two decades, we document strong similarities in realized volatilities patterns across assets and asset classes. Exploiting these similarities within and across asset classes in panel-based estimation of new realized volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more conventional procedures that do not incorporate the information in the high-frequency intraday data and/or the similarities in the volatilities. A utility-based framework designed to evaluate the economic gains from risk modeling highlights the interplay between parsimony of model specification, transaction costs, and speed of trading in the practical implementation of the different risk models. |
| 主题 | Financial Economics |
| 关键词 | Market and volatility risk High-frequency data Realized volatility Risk modeling and forecasting Volatility trading Risk targeting Realized utility |
| URL | https://cepr.org/publications/dp12687 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541499 |
| 推荐引用方式 GB/T 7714 | Lasse Heje Pedersen. DP12687 Risk Everywhere: Modeling and Managing Volatility. 2018. |
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