One hallmark of a great idea is that it's "obvious" (ex post). Fantastic recent work by Bollerslev, Patton, and Quaedvlieg (BPQ) certainly passes that test. BPQ build on the classic Barndorff-Nielsen and Shephard result that the precision with which r...
Check out Mark Jensen's new paper. Long memory is a key feature of realized high-frequency asset-return volatility, yet it remains poorly understood. Jensen's approach may help change that. Of particular interest are: (1) its ability to...
I'm at the IMF soon for a couple days of lecturing on Diebold-Yilmaz's Connectedness. It was published earlier this year, and preparing for the IMF jogged my memory: I brilliantly forgot to announce it in a No Hesitations post. Anyway, it's available a...
I am reminded that I had planned to post on data/analysis sites that focus on financial asset return volatility measurement and modeling.To my mind, the key trio is implied vol, GARCH vol, and realized vol. For implied vol it's the VIX at CBO...
Loved last week's PIER lectures at Penn. Good people, good times, good spring weather. (Please join us next year in May 2016! More information in due course.) On Thursday we did yield curves, which had me thinking about what's new that I lik...
I'm baaaaaack...Speaking of being back, I'm just back from the Rob Engle / NYU Volatility Institute Annual Conference. (Well, more or less just back.) Great people, great science, tightly-focused on a fascinating and timely area, the bond market ...
This arrived a couple weeks ago from Nassim Taleb. Regardless of where your view falls on the black swan spectrum, I hope you'll like the graphic. One hallmark of a good graphic is that it repays careful study, as with a good map (which is a good ...
For my Chinese readers:A Chinese version of the Diebold-Doherty-Herring risk management book just appeared. Interesting surprise. I knew nothing about it until it arrived in the snail mail, just as with the earlier Chinese version of the Dieb...
An earlier post, "Big Data the Big Hassle," waxed negative. So let me now give credit where credit is due.What's true in time-series econometrics is that it's very hard to list the third-most-important, or even second-most-important, contribution of Bi...
Some of the comments engendered by the Black Swan post remind me of something I've wanted to say for a while: In sharp contrast to much popular perception, the financial crisis wasn't caused by models or modelers.Rather, the crisis was c...
