Search Results - subject:"Intraday Volatility"

Intraday volatility responses to monetary policy events

Lunde, Asger; Zebedee, Allan - In: Financial Markets and Portfolio Management 23 (2009) 4, pp. 383-399

Persistent link: https://www.econbiz.de/10008527207

GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 2000

In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the NewY ork...

Persistent link: https://www.econbiz.de/10005042801

Time transformations, intraday data and volatility models

GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 1999

frameworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of … assessed. Moreover, price durations allowan easy computation of intraday volatility and this method compares favorablyto ARCH …

Persistent link: https://www.econbiz.de/10005043128

Time-to-Expiry Seasonalities in Eurofutures

Ballocchi, Giuseppe; Dacorogna, Michael; Ramazan GenÃ§ay - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 4, pp. 19-32

function of the time left to expiry for the contract in question. The intraday volatility, averaged over the Eurofutures …

Persistent link: https://www.econbiz.de/10005007683

Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange

Tian, Gary; Guo, Mingyuan - In: Review of Quantitative Finance and Accounting 28 (2007) 3, pp. 287-306

intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not … driving forces which exaggerate the high intraday volatility observed at the market open. Copyright Springer Science …

Persistent link: https://www.econbiz.de/10005673918

Intraday dynamics of stock market returns and volatility

Selçuk, Faruk; Gençay, Ramazan - In: Physica A: Statistical Mechanics and its Applications 367 (2006) C, pp. 375-387

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we...

Persistent link: https://www.econbiz.de/10011057213

Time-to-Expiry Seasonalities in Eurofutures

Ballocchi, Giuseppe; Dacorogna, Michael; Gençay, Ramazan; … - In: Studies in Nonlinear Dynamics & Econometrics 4 (2001) 4

function of the time left to expiry for the contract in question. The intraday volatility, averaged over the Eurofutures …

Persistent link: https://www.econbiz.de/10014620837

Time-to-Expiry Seasonalities in Eurofutures

Ballocchi, Giuseppe; Dacorogna, Michael; Ramazan GenÃ§ay - In: Studies in Nonlinear Dynamics & Econometrics 4 (2001) 4, pp. 19-32

function of the time left to expiry for the contract in question. The intraday volatility, averaged over the Eurofutures …

Persistent link: https://www.econbiz.de/10005751401