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Risk Analysis of Cumulative Intraday Return Curves
Journal of Time Series Econometrics Pub Date : 2018-10-13 , DOI: 10.1515/jtse-2018-0011
Piotr Kokoszka 1 , Hong Miao 2 , Stilian Stoev 3 , Ben Zheng 1
Affiliation  

Abstract Motivated by the risk inherent in intraday investing, we propose several ways of quantifying extremal behavior of a time series of curves. A curve can be extreme if it has shape and/or magnitude much different than the bulk of observed curves. Our approach is at the nexus of functional data analysis and extreme value theory. The risk measures we propose allow us to assess probabilities of observing extreme curves not seen in a historical record. These measures complement risk measures based on point-to-point returns, but have different interpretation and information content. Using our approach, we study how the financial crisis of 2008 impacted the extreme behavior of intraday cumulative return curves. We discover different impacts on shares in important sectors of the US economy. The information our analysis provides is in some cases different from the conclusions based on the extreme value analysis of daily closing price returns.

中文翻译:

日累计收益曲线的风险分析

摘要受日内投资固有风险的影响,我们提出了几种量化曲线时间序列极端行为的方法。如果曲线的形状和/或大小与所观察到的曲线的大部分相差很大,则可能是极端的。我们的方法是功能数据分析和极值理论之间的联系。我们提出的风险衡量方法使我们能够评估观察历史记录中未发现的极端曲线的可能性。这些措施是基于点对点收益的风险措施的补充,但具有不同的解释和信息内容。使用我们的方法,我们研究了2008年的金融危机如何影响日内累积收益曲线的极端行为。我们发现对美国经济重要部门的股票产生不同的影响。
更新日期:2018-10-13
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