Separating microstructure noise from volatility
Article Abstract:
A volatility-timing trading approach for separating variance of microstructure noise from the volatility components of the observed stock returns yields.
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
Science & research, Research, Return on investment, Analysis of variance, Rate of return, Securities trading
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
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A general approach to integrated risk management with skewed, fat-tailed risks
Article Abstract:
A joint risk distribution technique for aggregating possible risk types faced by the financial institutions is presented.
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
Management dynamics, Venture Analysis, Management, Risk assessment, Company business management, Financial risk
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
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Subjects list: Methods, United States, Analysis
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