Browsing by Author "Quaedvlieg, R"

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    From zero to hero: Realized partial (co)variances
    (Journal of Econometrics, 2021-01-01) Bollerslev, T; Medeiros, MC; Patton, AJ; Quaedvlieg, R
    This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen et al. (2010) and Bollerslev et al. (2020a) to allow for a finer decomposition of realized (co)variances. The new “realized partial (co)variances” allow for multiple thresholds with various locations, rather than the single fixed threshold of zero used in semi (co)variances. We adopt methods from machine learning to choose the thresholds to maximize the out-of-sample forecast performance of time series models based on realized partial (co)variances. We find that in low dimensional settings it is hard, but not impossible, to improve upon the simple fixed threshold of zero. In large dimensions, however, the zero threshold embedded in realized semi covariances emerges as a robust choice.
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    Multivariate Leverage Effects and Realized Semicovariance GARCH Models
    (2018-04-16) Bollerslev, T; Patton, AJ; Quaedvlieg, R
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    Realized semibetas: Disentangling “good” and “bad” downside risks
    (Journal of Financial Economics, 2021-01-01) Bollerslev, T; Patton, AJ; Quaedvlieg, R
    We propose a new decomposition of the traditional market beta into four semibetas that depend on the signed covariation between the market and individual asset returns. We show that semibetas stemming from negative market and negative asset return covariation predict significantly higher future returns, while semibetas attributable to negative market and positive asset return covariation predict significantly lower future returns. The two semibetas associated with positive market return variation do not appear to be priced. The results are consistent with the pricing implications from a mean-semivariance framework combined with arbitrage risk driving a wedge between the risk premiums for long and short positions. We conclude that rather than betting against the traditional market beta, it is better to bet on and against the “right” semibetas.
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    Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix
    (Economic Research Initiatives at Duke (ERID) Working Paper, 2017-09-05) Bollerslev, T; Li, J; Patton, AJ; Quaedvlieg, R