Search Results - subject:"Realized Volatility."

Forecasting VIX: the illusion of forecast evaluation criteria

Degiannakis, Stavros; Kafousaki, Eleftheria - 2023

Persistent link: https://www.econbiz.de/10014338590

GARMA, HAR and rules of thumb for modelling realized volatility

Allen, David E.; Peiris, Shelton - In: Risks : open access journal 11 (2023) 10, pp. 1-15

methods of modelling realized volatility (RV), namely the use of Gegenbauer processes in Auto-Regressive Moving Average format …

Persistent link: https://www.econbiz.de/10014393082

Estimation of realized asymmetric stochastic volatility models using Kalman filter

Asai, Manabu - In: Econometrics : open access journal 11 (2023) 3, pp. 1-13

maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates … volatility models, rejecting the model without the realized volatility measure. Furthermore, the forecasts of alternative RSV …

Persistent link: https://www.econbiz.de/10014425668

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...

Persistent link: https://www.econbiz.de/10014434629

Forecasting VIX : the illusion of forecast evaluation criteria

Degiannakis, Stavros; Kafousaki, Eleftheria - In: Economics and Business Letters : EBL 12 (2023) 3, pp. 231-240

Persistent link: https://www.econbiz.de/10014448444

On the usefulness of dynamically spilled risk : an optimal portfolio allocation based on cross-sector information contagion

Shigemoto, Hideto; Morimoto, Takayuki - In: Cogent economics & finance 11 (2023) 2, pp. 1-13

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is...

Persistent link: https://www.econbiz.de/10014503074