Search Results - subject:"Realized Volatility."

Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades

Hatrick, Kerr; So, Mike; Chung, S.; Deng, R. - In: Asia-Pacific Financial Markets 18 (2011) 3, pp. 291-317

Persistent link: https://www.econbiz.de/10009327797

A Markov-switching Multifractal Approach to Forecasting Realized Volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - Institut für Weltwirtschaft (IfW) - 2011

for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by …

Persistent link: https://www.econbiz.de/10009351451

Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks

Duong, Diep; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2011

to overall realized variation and their contribution to predictive regressions of realized volatility. We find evidence …

Persistent link: https://www.econbiz.de/10009372741

Predictive Inference for Integrated Volatility

Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011

realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

Persistent link: https://www.econbiz.de/10009372753

Predictive Inference for Integrated Volatility

Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive den- sities and con¯dence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned...

Persistent link: https://www.econbiz.de/10009372759

Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps

Duong, Diep; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2011

The topic of volatility measurement and estimation is central to nancial and more generally time series econo- metrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical ndings from the literature. In...

Persistent link: https://www.econbiz.de/10009372773

Detecting instability in the volatility of carbon prices

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011

), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006 …

Persistent link: https://www.econbiz.de/10010706707

Financial market spillovers around the globe

Dimpfl, Thomas; Jung, Robert - Friedrich-Schiller-University Jena - 2011

Financial market spillovers around the globeThis paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatised returns and...

Persistent link: https://www.econbiz.de/10011278470

Analytic Evaluation of Volatility Forecasts

Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

frequency of the returns underlying the realized volatility measures. On numerically quantifying this efficiency loss for such … popular continuous-time models as GARCH, multi-factor affine, and log-normal diffusions, we find that the realized volatility …

Persistent link: https://www.econbiz.de/10005100878

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities

Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic …

Persistent link: https://www.econbiz.de/10005100986