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Full-Text Articles in Finance and Financial Management
Financial News And Cds Spreads, Paresh Kumar Narayan, Deepa Bannigidadmath
Financial News And Cds Spreads, Paresh Kumar Narayan, Deepa Bannigidadmath
Research outputs 2014 to 2021
© 2020 Elsevier B.V. This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean–variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits.
Stochastic Volatility And Garch: Do Squared End-Of-Day Returns Provide Similar Information?, David Edmund Allen
Stochastic Volatility And Garch: Do Squared End-Of-Day Returns Provide Similar Information?, David Edmund Allen
Research outputs 2014 to 2021
The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models demonstrate comparable performance and are correlated to a similar extent with the RV estimates, when measured by OLS. However, a crude variant of Corsi’s (2009) Heterogenous Auto-Regressive (HAR) model, applied to squared demeaned daily returns on the indices, appears to predict the daily RV of …