Browsing by Author "e6c79574-04f1-43cb-a5cd-3bfcb4bd7b7d"

Browsing by Author "e6c79574-04f1-43cb-a5cd-3bfcb4bd7b7d"

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  • Essays on financial time series with a focus on high-frequency data 
    Becker, Janis (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This thesis contains six essays on financial time series. Special attention is paid to the opportunities that high-frequency data offers for modeling and forecasting the return and the risk, measured by the volatility or ...
  • Estimating the volatility of asset pricing factors 
    Becker, Janis; Leschinski, Christian (New York, NY : Wiley Interscience, 2020)
    Models based on factors such as size or value are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become ...
  • The Memory of Beta Factors 
    Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors ...