Tail risk forecasting with semiparametric regression models by incorporating overnight information
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DOI: 10.1002/for.3090
Abstract: This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility. Extending a semiparametric regression model based on asymmetric Laplace distribution, we propose… read more here.
Keywords: risk; risk forecasting; semiparametric regression; tail risk ... See more keywords
The Information Content of Overnight Information for Volatility Forecasting: Evidence From China's Stock Market
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DOI: 10.1002/for.70011
Abstract: Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range–based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important… read more here.
Keywords: information; market; volatility; overnight information ... See more keywords
Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101750
Abstract: Abstract This study extends the HAR-RV model to detailedly compare the role of leverage effects, jumps, and overnight information in predicting the realized volatilities (RV) of 21 international equity indices. First, the in-sample results suggest… read more here.
Keywords: leverage effects; overnight information; effects jumps; jumps overnight ... See more keywords