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  • Search: subject:"Realized Volatility."
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Year of publication
Subject
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Volatilität 632 Volatility 623 Realized volatility 522 realized volatility 424 Prognoseverfahren 342 Forecasting model 340 ARCH-Modell 260 ARCH model 259 Zeitreihenanalyse 259 Time series analysis 247 Kapitaleinkommen 237 Capital income 235 Schätzung 233 Estimation 225 Theorie 201 Theory 184 Börsenkurs 158 Share price 149 Stock market 137 Aktienmarkt 136 Welt 99 World 98 Realized Volatility 96 Stochastischer Prozess 81 Stochastic process 79 forecasting 69 Forecast 66 Prognose 66 Schätztheorie 65 Estimation theory 63 Finanzmarkt 63 Forecasting 63 Financial market 60 Oil price 50 Ölpreis 50 volatility forecasting 47 Volatility forecasting 46 Wechselkurs 46 high-frequency data 45 Exchange rate 44
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Online availability
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Free 539 Undetermined 486 CC license 25
Type of publication
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Article 678 Book / Working Paper 465 Other 1
Type of publication (narrower categories)
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Article in journal 511 Aufsatz in Zeitschrift 511 Working Paper 178 Graue Literatur 98 Non-commercial literature 98 Arbeitspapier 96 Article 26 Conference paper 5 Konferenzbeitrag 5 Aufsatz im Buch 4 Book section 4 research-article 4 Hochschulschrift 2 Thesis 2 Aufsatzsammlung 1 Collection of articles of several authors 1 Konferenzschrift 1 Sammelwerk 1
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Language
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English 842 Undetermined 296 Italian 3 French 2 Portuguese 1
Author
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McAleer, Michael 44 Gupta, Rangan 41 Ma, Feng 30 Bollerslev, Tim 29 Pierdzioch, Christian 27 Andersen, Torben G. 22 Sévi, Benoît 22 Chevallier, Julien 20 Degiannakis, Stavros 20 Diebold, Francis X. 20 Asai, Manabu 18 Scharth, Marcel 16 Yu, Jun 16 Allen, David E. 14 Caporin, Massimiliano 14 Christensen, Bent Jesper 14 Gallo, Giampiero M. 14 Medeiros, Marcelo C. 14 Audrino, Francesco 12 Nielsen, Morten Ørregaard 12 Bonato, Matteo 11 Cesa-Bianchi, Ambrogio 11 Clements, Adam 11 Corradi, Valentina 11 Liang, Chao 11 Rebucci, Alessandro 11 Swanson, Norman R. 11 Zhang, Yaojie 11 Distaso, Walter 10 Ji, Qiang 10 Leschinski, Christian 10 Liao, Yin 10 Luo, Jiawen 10 Meddahi, Nour 10 Pesaran, M. Hashem 10 Wei, Yu 10 Barunik, Jozef 9 Baruník, Jozef 9 Corsi, Fulvio 9 Hounyo, Ulrich 9
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Institution
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School of Economics and Management, University of Aarhus 38 Center for Financial Studies 9 National Centre for Econometric Research (NCER) 9 Department of Economics and Finance, College of Business and Economics 7 Department of Economics, Rutgers University-New Brunswick 7 Institute of Economic Research, Hitotsubashi University 7 Université Paris-Dauphine (Paris IX) 7 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 6 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 6 Economics Department, Queen's University 6 School of Economics, Singapore Management University 6 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 6 Cowles Foundation for Research in Economics, Yale University 5 Econometric Society 5 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 5 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 5 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 5 School of Economics and Political Science, Universität St. Gallen 5 Tinbergen Instituut 5 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro 4 Department of Economics, University of Peloponnese 4 Department of Economics, University of Pennsylvania 4 Duke University, Department of Economics 4 Erasmus University Rotterdam, Econometric Institute 4 HAL 4 Schweizerische Nationalbank (SNB) 4 Department of Econometrics and Business Statistics, Monash Business School 3 Department of Economics, Oxford University 3 East Asian Bureau of Economic Research (EABER) 3 EconWPA 3 Institute of Economic Research, Kyoto University 3 Society for Computational Economics - SCE 3 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 3 Université Paris-Dauphine 3 Agricultural and Applied Economics Association - AAEA 2 C.E.P.R. Discussion Papers 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 2 Department of Economics, European University Institute 2 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 2
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Published in...
All
CREATES Research Papers 36 Finance research letters 32 Energy economics 25 Journal of forecasting 25 International journal of forecasting 24 International review of economics & finance : IREF 20 Journal of econometrics 18 Journal of empirical finance 18 The North American journal of economics and finance : a journal of financial economics studies 17 Economic modelling 15 International review of financial analysis 15 Journal of Risk and Financial Management 14 Applied economics letters 13 Journal of risk and financial management : JRFM 13 Applied economics 12 Journal of financial econometrics 12 Department of Economics working paper series 11 Physica A: Statistical Mechanics and its Applications 10 Quantitative finance 10 Research in international business and finance 10 Working Paper 10 CFS Working Paper Series 9 Econometric Reviews 9 Economics letters 9 International journal of finance & economics : IJFE 9 Journal of banking & finance 9 NCER Working Paper Series 9 Discussion paper / Tinbergen Institute 8 Tinbergen Institute Discussion Paper 8 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 7 Econometric reviews 7 Economics Papers from University Paris Dauphine 7 Tinbergen Institute Discussion Papers 7 Working Papers in Economics 7 CIRANO Working Papers 6 Econometrics 6 Econometrics Working Papers Archive 6 Global COE Hi-Stat Discussion Paper Series 6 Global finance journal 6 Journal of financial econometrics : official journal of the Society for Financial Econometrics 6
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Source
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ECONIS (ZBW) 617 RePEc 407 EconStor 108 BASE 8 Other ZBW resources 4
Showing 531 - 540 of 1,144
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …
Persistent link: https://www.econbiz.de/10011256164
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
Persistent link: https://www.econbiz.de/10009784942
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The economic valuation of variance forecasts : an artificial option market approach
Parrák, Radovan - 2013
In this paper we compared two distinct volatility forecasting approaches. GARCH models were contrasted to the models which modelled proxies of volatility directly. More precisely, focus was put on the economic valuation of forecasting accuracy of one-day-ahead volatility forecasts. Profits from...
Persistent link: https://www.econbiz.de/10009786890
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Realizing stock market crashes : stochastic cusp catastrophe model of returns under the time-varying volatility
Baruník, Jozef; Kukačka, Jiří - 2013
realized volatility from the returns in the first step and use stochastic cusp catastrophe on data normalized by the estimated …
Persistent link: https://www.econbiz.de/10010206135
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Can volatility models explain extreme events?
Trapin, Luca - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
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Downside variance risk premium
Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cédric - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 341-383
Persistent link: https://www.econbiz.de/10011987780
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Reflections on recent volatility
Sinclair, Euan - In: The journal of investment strategies 7 (2018) 2, pp. 77-82
Persistent link: https://www.econbiz.de/10011880174
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Research on the daily volatility measure considering the impact of overnight variance and time segment in Chinese stock market
Shi, Yu; Li, Handong - In: Journal of mathematical finance 8 (2018) 3, pp. 549-561
Persistent link: https://www.econbiz.de/10011968718
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The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market
Gong, Xu; Lin, Boqiang - In: Energy economics 74 (2018), pp. 370-386
Persistent link: https://www.econbiz.de/10011972865
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