Essays in Financial Econometrics

Lilla, Francesca (2017) Essays in Financial Econometrics, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Economia, 29 Ciclo. DOI 10.6092/unibo/amsdottorato/8197.
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The first paper sheds light on the informational content of high frequency data and daily data. I assess the economic value of the two family models comparing their performance in forecasting asset volatility through the Value at Risk metric. In running the comparison this paper introduces two key assumptions: jumps in prices and leverage effect in volatility dynamics. Findings suggest that high frequency data models do not exhibit a superior performance over daily data models. In the second paper, building on Majewski et al. (2015), I propose an affine-discrete time model, labeled VARG-J, which is characterized by a multifactor volatility specification. In the VARG-J model volatility experiences periods of extreme movements through a jump factor modeled as an Autoregressive Gamma Zero process. The estimation under historical measure is done by quasi-maximum likelihood and the Extended Kalman Filter. This strategy allows to filter out both volatility factors introducing a measurement equation that relates the Realized Volatility to latent volatility. The risk premia parameters are calibrated using call options written on S&P500 Index. The results clearly illustrate the important contribution of the jump factor in the pricing performance of options and the economic significance of the volatility jump risk premia. In the third paper, I analyze whether there is empirical evidence of contagion at the bank level, measuring the direction and the size of contagion transmission between European markets. In order to understand and quantify the contagion transmission on banking market, I estimate the econometric model by Aït-Sahalia et al. (2015) in which contagion is defined as the within and between countries transmission of shocks and asset returns are directly modeled as a Hawkes jump diffusion process. The empirical analysis indicates that there is a clear evidence of contagion from Greece to European countries as well as self-contagion in all countries.

Tipologia del documento
Tesi di dottorato
Lilla, Francesca
Dottorato di ricerca
Settore disciplinare
Settore concorsuale
Parole chiave
GARCH, DCS, jumps, leverage effect, high frequency data, realized variation, range estimator, VaR, Volatility Jumps, ARG-Zero, Realized Volatility, High Frequency, Option Pricing, Contagion, Sovereign debt crisis, Jumps, Hawkes process
Data di discussione
6 Giugno 2017

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