Search Results - subject:"Realised variance"

Asymptotics for volatility derivatives in multi-factor rough volatility models

Lacombe, Chloe; Muguruza, Aitor; Stone, Henry - In: Mathematics and financial economics 15 (2021) 3, pp. 545-577

Persistent link: https://www.econbiz.de/10012586188

Forecasting cross-section of stock returns with realised moments

Fičura, Milan - In: European Financial and Accounting Journal 14 (2019) 2, pp. 71-84

The study tests whether realised moments of stock returns (mean, variance, skewness and kurtosis) computed from daily returns over the last month, quarter and year can predict the 1-month cross-sectional stock returns of 40 US-traded liquid stocks in the period 1986-2019. The performed...

Persistent link: https://www.econbiz.de/10012623019

Forecasting cross-section of stock returns with realised moments

Fičura, Milan - In: European financial and accounting journal : EFAJ 14 (2019) 2, pp. 71-84

Persistent link: https://www.econbiz.de/10012201999

How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?

Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2010

measures such as realised variance, realised multipower variation and truncated realised multipower variation. We review the … realised variance in the presence of jumps. Next, we compare the finite sample performance of the various estimators by means … various estimators. We find that the finite sample performance of realised variance, and in particular of the log …

Persistent link: https://www.econbiz.de/10008677230

The Risk Return Relationship: Evidence from Index Return and Realised Variance Series

Yang, Minxian - School of Economics, UNSW Business School - 2014

The risk return relationship is analysed in bivariate models for return and realised variance(RV) series. Based on …

Persistent link: https://www.econbiz.de/10010755530

The impact of jumps on the stylized facts of returns and volatility

Izzeldin, Marwan; Shi, Peiran - Department of Economics, Management School - 2013

effects work only via the continuous component of realised variance. Jumps have no memory and stocks with higher jump activity …

Persistent link: https://www.econbiz.de/10011165265

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - HAL - 2011

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement error of certain types and can also handle non-synchronous trading. It is the first estimator...

Persistent link: https://www.econbiz.de/10010820536

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - HAL - 2011

Persistent link: https://www.econbiz.de/10010898866

Realised quantile-based estimation of the integrated variance

Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010

In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that …. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …

Persistent link: https://www.econbiz.de/10010898908

Realised quantile-based estimation of the integrated variance

Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010

Persistent link: https://www.econbiz.de/10010570523