Search Results - subject:"Realized Volatility."

Volatility bursts : a discrete-time option model with multiple volatility components

Lilla, Francesca - 2021

Persistent link: https://www.econbiz.de/10012584971

New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based

Zhang, Weiwei; Sun, Tiezhu; Ma, Yechi; Wang, Zilong - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 109-121

Persistent link: https://www.econbiz.de/10012587118

The incidence of spillover effects during the unconventional monetary policies era

Lacava, Demetrio; Scaffidi Domianello, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18

policy, on the other hand. By estimating our model, the MS-AMEMX, on a sample of daily observations of the realized … volatility of four Eurozone stock indices (CAC40, DAX30, FTSEMIB and IBEX35), we find how the increase in volatility brought …

Persistent link: https://www.econbiz.de/10012587787

Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26

purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for …

Persistent link: https://www.econbiz.de/10012548334

Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - 2021

We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...

Persistent link: https://www.econbiz.de/10012672178

Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market

Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60

Persistent link: https://www.econbiz.de/10012436893

Forecasting international REITs volatility : the role of oil-price uncertainty

Wang, Jiqian; Gupta, Rangan; Çepni, Oğuzhan; Ma, Feng - 2021

Persistent link: https://www.econbiz.de/10012661162

Option-implied network measures of tail contagion and stock return predictability

Pedio, Manuela - 2021

Persistent link: https://www.econbiz.de/10012521637

New dataset for forecasting realized volatility : is the Tokyo stock exchange co-location dataset helpful for expansion of the heterogeneous autoregressive model in the Japanese st...

Higashide, Takuo; Tanaka, Katsuyuki; Kinkyō, Takuji; … - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18

forecast the realized volatility (RV) of Tokyo stock price index futures. The heterogeneous autoregressive (HAR) model is a …

Persistent link: https://www.econbiz.de/10012534623

A Bayesian semiparametric realized stochastic volatility model

Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22

volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework … returns and logarithmic realized volatility but also enables flexible adjustments for estimation bias in realized volatility …

Persistent link: https://www.econbiz.de/10012800257