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  • Search: subject:"Realized Variance"
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Year of publication
Subject
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Volatility 123 Volatilität 120 Realized variance 105 Varianzanalyse 92 Analysis of variance 91 realized variance 77 Forecasting model 60 Prognoseverfahren 60 Estimation 50 Schätzung 50 Zeitreihenanalyse 45 ARCH model 44 ARCH-Modell 44 Börsenkurs 44 Share price 44 Time series analysis 44 Realized Variance 40 Theorie 33 Theory 32 Kapitaleinkommen 29 Capital income 28 Estimation theory 28 Schätztheorie 28 Stochastic process 23 Stochastischer Prozess 23 Forecasting 19 Option pricing theory 18 Optionspreistheorie 18 Risk 16 Market microstructure 15 High-frequency data 14 Marktmikrostruktur 14 Option trading 14 Optionsgeschäft 14 Risiko 14 high-frequency data 14 Aktienmarkt 13 Stock market 13 CAPM 12 Monte Carlo simulation 12
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Online availability
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Undetermined 107 Free 106 CC license 4
Type of publication
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Article 150 Book / Working Paper 91
Type of publication (narrower categories)
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Article in journal 107 Aufsatz in Zeitschrift 107 Working Paper 31 Graue Literatur 20 Non-commercial literature 20 Arbeitspapier 19 Article 5 Aufsatz im Buch 3 Book section 3 Thesis 2 Aufsatzsammlung 1 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1
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Language
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English 176 Undetermined 64 Italian 1
Author
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Gupta, Rangan 12 Pierdzioch, Christian 10 Bonato, Matteo 8 Hansen, Peter Reinhard 8 Watanabe, Toshiaki 8 Çepni, Oğuzhan 7 Christensen, Kim 6 Grassi, Stefano 6 Karanasos, Menelaos 6 Lunde, Asger 6 Nonejad, Nima 6 Santucci de Magistris, Paolo 6 Fengler, Matthias 5 Nagakura, Daisuke 5 Huang, Zhuo 4 Patton, Andrew J. 4 Shephard, Neil 4 Yfanti, Stavroula 4 Barndorff-Nielsen, Ole E. 3 Caporale, Guglielmo Maria 3 Chang, Yoosoon 3 Choi, Yongok 3 Fengler, Matthias R. 3 Fičura, Milan 3 Halbleib, Roxana 3 Herrmann, Klaus 3 Kim, Hwagyun 3 Kristoufek, Ladislav 3 Large, Jeremy 3 Lucas, André 3 Magistris, Paolo Santucci de 3 Mammen, Enno 3 Okhrin, Ostap 3 Okou, Cédric 3 Opschoor, Anne 3 Park, Joon Y. 3 Podolskij, Mark 3 Rombouts, Jeroen V. K. 3 Rossi, Eduardo 3 Teis, Stefan 3
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Institution
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School of Economics and Management, University of Aarhus 11 Institute of Economic Research, Hitotsubashi University 5 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 4 Department of Economics, Oxford University 4 School of Economics and Political Science, Universität St. Gallen 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Econometric Society 2 Economics Department, South Dakota State University 2 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 2 Business School, University of Sydney 1 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 1 Department of Economics, European University Institute 1 Department of Economics, Management School 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 Duke University, Department of Economics 1 Département de Sciences Économiques, Université de Montréal 1 East Asian Bureau of Economic Research (EABER) 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Fachbereich Wirtschaftswissenschaften, Universität Konstanz 1 Finance Research Centre, Oxford University 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Graduate School of Economics, Osaka University 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Institutionen för Nationalekonomi, Umeå Universitet 1 School of Economics and Finance, Tasmanian School of Business and Economics 1 School of Economics, University of Kent 1 Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1
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Published in...
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CREATES Research Papers 11 Finance research letters 9 International journal of forecasting 6 Global COE Hi-Stat Discussion Paper Series 5 Journal of banking & finance 5 Journal of econometrics 5 Quantitative finance 5 CIRANO Working Papers 4 Economics Series Working Papers / Department of Economics, Oxford University 4 Journal of financial econometrics 4 Journal of financial markets 4 CREATES research paper 3 Econometric Reviews 3 Econometric reviews 3 Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen 3 Finance and Stochastics 3 International journal of theoretical and applied finance 3 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 3 Journal of forecasting 3 MPRA Paper 3 Pacific-Basin finance journal 3 Quantitative economics : QE ; journal of the Econometric Society 3 Cahiers de recherche 2 Decisions in economics and finance : a journal of applied mathematics 2 Department of Economics working paper series 2 Discussion papers / CEPR 2 Economics Bulletin 2 Energy economics 2 FinMaP-Working Paper 2 FinMaP-Working Papers 2 Finmap working paper 2 International Journal of Forecasting 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 International review of economics & finance : IREF 2 International review of financial analysis 2 Journal of Banking & Finance 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 Mathematical finance : an international journal of mathematics, statistics and financial theory 2 Mathematics and Computers in Simulation (MATCOM) 2 Quantitative Economics 2
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Source
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ECONIS (ZBW) 131 RePEc 88 EconStor 17 BASE 5
Showing 1 - 10 of 241
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A common component of Fama and French factor variances
Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10015359779
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Pricing VXX options with observable volatility dynamics from high-frequency VIX index
Lu, Shan - In: The journal of futures markets 45 (2025) 7, pp. 771-801
Persistent link: https://www.econbiz.de/10015464863
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Machine learning and the forecastability of cross-sectional realized variance : the role of realized moments
Plakandaras, Vasilios; Bonato, Matteo; Gupta, Rangan; … - 2025
Persistent link: https://www.econbiz.de/10015398295
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Bayesian nonparametric modelling of stochastic volatility
Nikolakopoulos, Efthimios - In: Quantitative finance 25 (2025) 6, pp. 857-872
Persistent link: https://www.econbiz.de/10015534162
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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
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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
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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/10014495264
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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
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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
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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
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