Search Results - subject:"Realized Volatility."

Modeling and forecasting persistent financial durations

Zikes, Filip; Barunik, Jozef; Shenai, Nikhil - 2015

feature of durations generated by the MSMD process propagates to counts and realized volatility. We employ a quasi …

Persistent link: https://www.econbiz.de/10010500515

Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression

Barunik, Jozef; Barunikova, Michaela - 2015

. In addition, a new tool for the estimation of fractional co-integrating relation between implied and realized volatility …This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized … volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of …

Persistent link: https://www.econbiz.de/10011279512

Forecasting volatility of wind power production

Shen, Zhiwei; Ritter, Matthias - 2015

-switching GARCH (MRS-GARCH) model on forecasting volatility of wind power. The realized volatility, which is derived from lower …

Persistent link: https://www.econbiz.de/10011335465

A probit model for the state of the Greek GDP growth

Degiannakis, Stavros - In: International Journal of Financial Studies 3 (2015) 3, pp. 381-392

evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …

Persistent link: https://www.econbiz.de/10011708988

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics 3 (2015) 1, pp. 2-54

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

Persistent link: https://www.econbiz.de/10011755269

Downside Variance Risk Premium

Feunou, Bruno; Jahan-Parvar, Mohammad; Okou, Cedric - Federal Reserve Board (Board of Governors of the … - 2015

We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of...

Persistent link: https://www.econbiz.de/10011261280

Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics 3 (2015) 1, pp. 2-54

daily realized volatility data of Standard & Poor’s 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

Persistent link: https://www.econbiz.de/10011123002

Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - School of Economics and Management, University of Aarhus - 2015

We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the … asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the … existing models that implicitly ignore the temporal variation in the magnitude of the realized volatility measurement errors. …

Persistent link: https://www.econbiz.de/10011207425

Validity of Edgeworth expansions for realized volatility estimators

Hounyo, Ulrich; Veliyev, Bezirgen - School of Economics and Management, University of Aarhus - 2015

The main contribution of this paper is to establish the formal validity of Edgeworth expansions for realized volatility … realized volatility derived in Gonalves and Meddahi (2009). Second, we show that the validity of the Edgeworth expansions for … realized volatility may not cover the optimal two-point distribution wild bootstrap proposed by Gonçalves and Meddahi (2009 …

Persistent link: https://www.econbiz.de/10011274511

The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures

Santos, António Alberto - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2015

In this paper, we calculate the realized volatility measures using intraday data not equally spaced in time. The aim is … intervals. Can this be compatible with ultra-high-frequency data and realized volatility measures? Can we obtain compatible …

Persistent link: https://www.econbiz.de/10011274612