Search Results - subject:"Median Realized Volatility"

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Forecasting realized volatility of agricultural commodities

Degiannakis, Stavros; Filis, George; Klein, Tony; … - In: International journal of forecasting 38 (2022) 1, pp. 74-96

Persistent link: https://www.econbiz.de/10013347759

The contribution of intraday jumps to forecasting the density of returns

Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012502523

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2012

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

Persistent link: https://www.econbiz.de/10011072230

Do jumps help in forecasting the density of returns?

Chevallier, Julien; Ielpo, Florian; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011

The estimation of the jump component in asset pricing has witnessed a considerably growing body of literature. Of particular interest is the decomposition of total volatility between its continuous and jump components. Recent contributions highlight the importance of the jump component in...

Persistent link: https://www.econbiz.de/10011074092

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2011

Persistent link: https://www.econbiz.de/10009019142

Do jumps help in forecasting the density of returns?.

Chevallier, Julien; Ielpo, Florian; Sévi, Benoît - Université Paris-Dauphine

Persistent link: https://www.econbiz.de/10009189918