Název: Good volatility, bad volatility, and the cross-section of stock returns at different investment horizons
Překlad názvu: Good volatility, bad volatility, and the cross-section of stock returns at different investment horizons
Autoři: Sako, Tony Ryan Hlali ; Baruník, Jozef (vedoucí práce) ; Kukačka, Jiří (oponent)
Typ dokumentu: Diplomové práce
Rok: 2018
Jazyk: eng
Abstrakt: Starting with the assumption that different investors have different investment time preferences and different risk tolerances within their given investment time-frames, this paper investigates the value of employing multiresolution analysis to model volatility and risk-pricing. In terms of estimation and fore- casting performance we were able to reduce by at least half the volatility fore- casting errors, with even better results at longer horizons. In regards to risk pricing we learn that extreme aggregate volatility (i.e. tail risk) is priced but regular volatility is not. Additionally we find that whilst aggregate volatility is generally more important over the long-horizon, during periods of market turmoil it is much more significant over the short-horizon. Finally we show that stocks with high sensitivity to aggregate volatility have lower subsequent returns supporting the idea that they become attractive as a hedge against market volatility. JEL Classification C12, C13, C21, C22, C31, C32, C51, C52, C53 Keywords Realized Volatility, Wavelet, Long-Memory Models, Cross-Section, Volatility Forecast, High-Frequency Data Author's e-mail tony sako@yahoo.com Supervisor's e-mail barunik@fsv.cuni.cz
Klíčová slova: Cross-Section; High-Frequency Data; Long-Memory Models; Realized Volatility; Volatility Forecast; Wavelet; Cross-Section; High-Frequency Data; Long-Memory Models; Realized Volatility; Volatility Forecast; Wavelet

Instituce: Fakulty UK (VŠKP) (web)
Informace o dostupnosti dokumentu: Dostupné v digitálním repozitáři UK.
Původní záznam: http://hdl.handle.net/20.500.11956/99532

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-384637


Záznam je zařazen do těchto sbírek:
Školství > Veřejné vysoké školy > Univerzita Karlova > Fakulty UK (VŠKP)
Vysokoškolské kvalifikační práce > Diplomové práce