Search Results - subject:"Realized Volatility."

Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics

Kundu, Srikanta; Paul, Amartya - 2021

Persistent link: https://www.econbiz.de/10013365985

The role of oil futures intraday information on predicting US stock market volatility

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …

Persistent link: https://www.econbiz.de/10013206077

Analysis of option trading strategies based on the relation of implied and realized S&P500 volatilities

Brunhuemer, Alexander; Larcher, Gerhard; Larcher, Lukas - In: ACRN journal of finance and risk perspectives 10 (2021), pp. 166-203

In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index. We seek to explain this outperformance by modeling...

Persistent link: https://www.econbiz.de/10013198281

Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market)

Pyrlik, Vladimir; Elizarov, Pavel; Leonova, Aleksandra - 2021

Persistent link: https://www.econbiz.de/10013163805

Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH-MIDAS and deep learning models

Song, Yuping; Tang, Xiaolong; Wang, Hemin; Ma, Zhiren - In: Journal of forecasting 42 (2023) 1, pp. 51-59

Persistent link: https://www.econbiz.de/10013465760

Trading volume and realized volatility forecasting : evidence from the China stock market

Liu, Min; Choo, Wei Chong; Lee, Chi-Chuan; Lee, Chien-Chiang - In: Journal of forecasting 42 (2023) 1, pp. 76-100

Persistent link: https://www.econbiz.de/10013465763

Investor confidence and forecastability of US stock market realized volatility : evidence from machine learning

Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian - In: The journal of behavioral finance : a publication of … 24 (2023) 1, pp. 111-122

Persistent link: https://www.econbiz.de/10013547864

Financial stress and oil market volatility : new evidence

Pang, Dan; Ma, Feng; Wahab, M. I. M.; Zhu, Bo - In: Applied economics letters 30 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013552939

Volatility puzzle : long memory or antipersistency

Shi, Shuping; Yu, Jun - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 3861-3883

Persistent link: https://www.econbiz.de/10014338293

The role of jumps in realized volatility modeling and forecasting

Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168

Persistent link: https://www.econbiz.de/10014391446