Search Results - subject:"Realized Variance"

A common component of Fama and French factor variances

Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - 2025

Persistent link: https://www.econbiz.de/10015359779

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

We examine two major topics in the field of cryptocurrencies. On the one hand, we investigate possible long-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at constructing cointegrated portfolios that enable...

Persistent link: https://www.econbiz.de/10014496157

Macro-financial linkages in the high-frequency domain : economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1581-1608

Persistent link: https://www.econbiz.de/10014533276

Science or scientism? : on the momentum illusion

Grobys, Klaus - In: Annals of finance 20 (2024) 4, pp. 479-519

Persistent link: https://www.econbiz.de/10015188762

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

Persistent link: https://www.econbiz.de/10014495264

El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices : evidence from a machine learning approach

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Journal of forecasting 42 (2023) 4, pp. 785-801

Persistent link: https://www.econbiz.de/10014292795

Augmenting the Realized-GARCH : the role of signed-jumps, attenuation-biases and long-memory effects

Papantonis, Ioannis; Rompolis, Leonidas S.; Tzavalis, Elias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 171-198

Persistent link: https://www.econbiz.de/10014288888

El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Journal of Forecasting 42 (2022) 4, pp. 785-801

We examine the predictive value of El Niño and La Niña weather episodes for the subsequent realized variance of 16 … realized variance along realized skewness, realized kurtosis, realized jumps, and realized upside and downside tail risks as … the subsequent realized variance. We document such nonlinear links, and that El Niño and La Niña increase forecast …

Persistent link: https://www.econbiz.de/10014503817

Modeling time varying risk of natural resource assets: Implications of climate change

Leroux, Anke D.; Martin, Vance; St. John, Kathryn A. - In: Quantitative Economics 13 (2022) 1, pp. 225-257

A multivariate GARCH model of natural resources is specified to capture the effects of time varying portfolio risk. A special feature of the model is the inclusion of realized volatility for natural resource assets that are available at multiple frequencies as well as being sensitive to sudden...

Persistent link: https://www.econbiz.de/10014536887

Exponential high-frequency-based-volatility (EHEAVY) models

Xu, Yongdeng - 2022

This paper proposes an Exponential HEAVY (EHEAVY) model. The model specifies the dynamics of returns and realized measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters and naturally allows the asymmetric effects. It...

Persistent link: https://www.econbiz.de/10013272183