Search Results - subject:"Realized Volatility."

Euro area stock markets integration : empirical evidence after the end of 2010 debt crisis

Stoupos, Nikolaos; Kiohos, Apostolos - In: Finance research letters 46 (2022) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10013341843

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

Kundu, Srikanta; Paul, Amartya - In: International review of economics & finance : IREF 80 (2022), pp. 597-612

Persistent link: https://www.econbiz.de/10013342636

Singlehanded or joint race? : stock market volatility prediction

Lu, Xinjie; Ma, Feng; Wang, Jianqiong; Dong, Dayong - In: International review of economics & finance : IREF 80 (2022), pp. 734-754

Persistent link: https://www.econbiz.de/10013342735

Factor portfolio and target volatility management : an analysis of portfolio performance in the U.S. and China

Xiong, Haifang; Yang, Gaofei; Wang, Zhiqiang - In: International review of economics & finance : IREF 79 (2022), pp. 493-517

Persistent link: https://www.econbiz.de/10013345748

Estimating the volatility of asset pricing factors

Becker, Janis; Leschinski, Christian - 2018

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …

Persistent link: https://www.econbiz.de/10012030917

The bias of realized volatility

Becker, Janis; Leschinski, Christian - 2018

Realized volatility underestimates the variance of daily stock index returns by an average of 14 percent. This is … documented for a wide range of international stock indices, using the fact that the average of realized volatility and that of …

Persistent link: https://www.econbiz.de/10012030928

Uncertainty and Economic Activity: A Multi-Country Perspective

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2018

the cross country variations of realized volatility. Using this theoretical insight, two common factors, a ‘real’ and a …

Persistent link: https://www.econbiz.de/10011815803

Volatility term structure modeling using Nelson-Siegel model

Malinska, Barbora; Barunik, Jozef - 2018

empirically inspect the behaviour of the respective realized volatility term structure. We believe that the discovered properties …

Persistent link: https://www.econbiz.de/10012063468

Measuring and trading volatility on the US stock market: A regime switching approach

Dapena, José P.; Serur, Juan A.; Siri, Julián R. - 2018

Persistent link: https://www.econbiz.de/10012099685

"Déjà vol" revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios

Conrad, Christian; Glas, Alexander - 2018

We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...

Persistent link: https://www.econbiz.de/10012141442