Volatility forecasting

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. JEL Klassifikation: C10, C53, G1

The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

A brief network analysis of Artificial Intelligence publication

In this paper, we present an illustration to the history of Artificial Intelligence(AI) with a statistical analysis of publish since 1940. We collected and mined through the IEEE publish data base to analysis the geological and chronological variance of the activeness of research in AI. The connections between different institutes are showed. The result shows that the leading community of AI research are mainly in the USA, China, the Europe and Japan. The key institutes, authors and the research hotspots are revealed. It is found that the research institutes in the fields like Data Mining, Computer Vision, Pattern Recognition and some other fields of Machine Learning are quite consistent, implying a strong interaction between the community of each field. It is also showed that the research of Electronic Engineering and Industrial or Commercial applications are very active in California. Japan is also publishing a lot of papers in robotics. Due to the limitation of data source, the result might be overly influenced by the number of published articles, which is to our best improved by applying network keynode analysis on the research community instead of merely count the number of publish.Comment: 18 pages, 7 figure

A selective overview of nonparametric methods in financial econometrics

This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications.Comment: 32 pages include 7 figure

Estimating persistence in the volatility of asset returns with signal plus noise models

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by Robinson (1995a), and shown by Arteche (2004) to be consistent and asymptotically normal in the context of signal plus noise models. Daily data on the NASDAQ index are analysed. The results suggest that volatility has a component of longmemory behaviour, the order of integration ranging between 0.3 and 0.5, the series being therefore stationary and mean-reverting.The second-named author gratefully acknowledges financial support from the Ministerio de Ciencia y Tecnología (ECO2008-03035 ECON Y FINANZAS, Spain) and from a PIUNA project at the University of Navarra

Volatility Forecasting

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly.