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Separating microstructure noise from volatility

Article Abstract:

A volatility-timing trading approach for separating variance of microstructure noise from the volatility components of the observed stock returns yields.

Author: Bandi, Federico M., Russell, Jeffrey R.

Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006

Science & research, Research, Return on investment, Analysis of variance, Rate of return, Securities trading

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A general approach to integrated risk management with skewed, fat-tailed risks

Article Abstract:

A joint risk distribution technique for aggregating possible risk types faced by the financial institutions is presented.

Author: Schuermann, Til, Rosenberg, Joshua V.

Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006

Management dynamics, Venture Analysis, Management, Risk assessment, Company business management, Financial risk

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Subjects list: Methods, United States, Analysis

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