Search Results - subject:"Instantaneous Volatility"

Instantaneous volatility of the yield curve, variance risk premium and bond return predictability

Yin, Ximing; Yang, Ge - In: Journal of empirical finance 77 (2024), pp. 1- 18

Persistent link: https://www.econbiz.de/10014578543

Instantaneous volatility seasonality of high-frequency markets in directional-change intrinsic time

Petrov, Vladimir; Golub, Anton; Olsen, Richard - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-31

We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns and drawups non … one Bitcoin exchange rates, as well as a stock market index. We demonstrate the long memory of instantaneous volatility …

Persistent link: https://www.econbiz.de/10012611144

Instantaneous volatility seasonality of high-frequency markets in directional-change intrinsic time

Petrov, Vladimir; Golub, Anton; Olsen, Richard - In: Journal of risk and financial management : JRFM 12 (2019) 2/54, pp. 1-31

Persistent link: https://www.econbiz.de/10012022232

Firm characteristics and jump dynamics in stock prices around earnings announcements

Zhou, Haigang; Zhu, John Qi - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-23

Persistent link: https://www.econbiz.de/10012203149

Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model (in English)

Zikes, Filip; Bubák, Vít - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 5-6, pp. 223-245

Using trade and quote data from the Prague Stock Exchange, this study investigates the empirical behavior of price durations defined as the time needed for a quote midpoint to move by a given amount. Focusing on the three most liquid securities traded on the exchange – Cesky Telecom, CEZ, and...

Persistent link: https://www.econbiz.de/10005808631

Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

Kaeck, Andreas; Alexander, Carol - In: Journal of Banking & Finance 36 (2012) 11, pp. 3110-3121

variance factors, and where jumps are allowed in both the price and the instantaneous volatility. The in-sample fit to the VIX …

Persistent link: https://www.econbiz.de/10010580929

Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR

Morimoto, Takayuki - Econometric Society - 2004

, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore …

Persistent link: https://www.econbiz.de/10005702699

Jump risk and cross section of stock returns: evidence from China’s stock market

Zhou, Haigang; Zhu, John - In: Journal of Economics and Finance 35 (2011) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10009149503

Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model

Bubak, Vit; Žikeš, Filip - Institut ekonomických studií, Univerzita Karlova v Praze - 2005

Using high-frequency trade and quote data from the Prague Stock Exchange, this paper investigates the empirical behavior of price durations defined as the time needed for a quote midpoint to move by a given amount. Focusing on the three most liquid securites traded on the exchange - Cesky...

Persistent link: https://www.econbiz.de/10005698704