Dear colleagues,
Abstract: Building on an extensive empirical
analysis I investigate the relevance of jumps and signed
variations in predicting Realized Volatility. I show that
properly accounting for intra-day volatility patterns and
staleness sensibly reduces the identified jumps. Realized
Variance decompositions based on intra-day return size and
sign improve the in-sample fit of the models commonly adopted
in empirical studies. I also introduce a novel specification
based on a more informative decomposition of Realized
Volatility, which offers improvements over standard models.
From a forecasting perspective, the empirical evidence I
report shows that most models, irrespective of their
flexibility, are statistically equivalent in many cases. This
result is confirmed with different samples, liquidity levels,
forecast horizons and possible transformations of the
dependent and explanatory variables. ------ Abstract: An insidious form of market
inefficiency, by which prices lose their informativeness and
wealth is distributed arbitrarily, translates into V-shapes,
that is sudden changes of the sign of the price drift. We use
this insight to develop a new tool for the detection of
reverting drift, the V-statistic. We apply this tool to (i)
quantify the extent of this kind of market inefficiency in the
U.S. stock market during the Covid-19 pandemic; and (ii) show
the harmful consequences of V-shapes on financial stability by
estimating the huge loss suffered by Italian taxpayers (0.45B
euros) in May 2018, when a transient crash hit the secondary
bond market during a Treasury auction. Joint with Maria Flora.
LTI@UniTO (www.carloalberto.org/lti)
and Fondazione Collegio Carlo Alberto are pleased to invite
you to the following webinars in Mathematical Finance:
March 1, 2021
| 17:00-18:00
“Do
jumps matter in Realized Volatility modeling and
forecasting? Empirical evidence and a new model”
Massimiliano
Caporin, University of Padova
Zoom Link: https://us02web.zoom.us/j/82672618584?pwd=VWdNeWhEc1pyVjJCQ3pucEhtb1BxUT09
Meeting ID: 826 7261 8584
Passcode: 599584
March
2, 2021 | 12:00-13:15
“V-shapes”
Roberto
Renò, University of Verona
Zoom link https://us02web.zoom.us/j/82590058916?pwd=VEowc2NUcm5rNmtFdWQ0MlMxUEVLQT09
Meeting ID: 825 9005 8916
Passcode: 055411
We look forward to your
participation!
-- Luca Regis Associate Professor Department of Economics and Statistics (ESOMAS) University of Torino sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti