Search Results - subject:"Realized Volatility."

Forecasting Realized Volatility with Linear and Nonlinear Univariate Models

McAleer, Michael; Medeiros, Marcelo C. - Department of Economics and Finance, College of … - 2010

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 futures. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...

Persistent link: https://www.econbiz.de/10008458994

Nonlinear Features of Realized FX Volatility

Maheu, John M.; McCurdy, Thomas H. - Centre Interuniversitaire de Recherche en Analyse des … - 2001

sum of intraday squared returns. Measurement errors associated with using realized volatility to measure ex post latent …

Persistent link: https://www.econbiz.de/10005100557

A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities

Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2001

by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion …

Persistent link: https://www.econbiz.de/10005100997

A Theoretical Comparison Between Integrated and Realized Volatilies

MEDDAHI, Nour - Département de Sciences Économiques, Université de … - 2001

by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion …

Persistent link: https://www.econbiz.de/10005729875

Realized volatility of index constituent stocks in Hong Kong

Chow, Ying-Foon; Lam, James T.K.; Yeung, Hinson S. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 9, pp. 2809-2818

High-frequency financial data are useful for studying the statistical properties of asset returns at lower frequencies, and they have been widely used to study various market microstructure related issues. However, most studies to date have been concentrated on markets in developed economies...

Persistent link: https://www.econbiz.de/10011050546

Scaling and memory in the return intervals of realized volatility

Ren, Fei; Gu, Gao-Feng; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 22, pp. 4787-4796

We perform return interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday … distribution for the realized volatility shows a better scaling behavior since 20 stocks (out of 22 stocks) and the SSEC pass the … addition, the similarity of the return interval distributions for different stocks is also observed for the realized volatility …

Persistent link: https://www.econbiz.de/10011064679

The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects

Ané, Thierry; Métais, Carole - Université Paris-Dauphine (Paris IX) - 2009

We examine the unconditional distribution of the realized variance of three European stock market indexes obtained from intraday transaction prices. We find that they share common distributional features: a significant mass close to zero, a sharp decrease afterwards and a significant right tail....

Persistent link: https://www.econbiz.de/10010742280

The relationship between implied and realized volatility: evidence from the Australian stock index option market

Li, Steven; Yang, Qianqian - In: Review of Quantitative Finance and Accounting 32 (2009) 4, pp. 405-419

Persistent link: https://www.econbiz.de/10004999598

Volatility Spreads and Expected Stock Returns

Bali, Turan G.; Hovakimian, Armen - In: Management Science 55 (2009) 11, pp. 1797-1812

This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...

Persistent link: https://www.econbiz.de/10009209048

Jump detection and long range dependence

Pirino, Davide - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 7, pp. 1150-1156

memory detection in volatility is affected by the presence of jumps, realized volatility being a biased volatility proxy. We …

Persistent link: https://www.econbiz.de/10010589028