Search Results - subject:"Realized Volatility."

Volatility in discrete and continuous time models: A survey with new evidence on large and small jumps

Duong, Diep; Swanson, Norman - 2011

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In...

Persistent link: https://www.econbiz.de/10010282858

Predictive inference for integrated volatility

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned quantities,...

Persistent link: https://www.econbiz.de/10010282862

Predictive inference for integrated volatility

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011

realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

Persistent link: https://www.econbiz.de/10010282869

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo - Faculteit der Economische Wetenschappen, Erasmus … - 2011

. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and … other measurement errors. Such noise is called “realized volatility error”. Since such errors are ignored, we need to take …

Persistent link: https://www.econbiz.de/10010732608

Volatility models

BAUWENS, Luc; HAFNER, Christian; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2011

Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc Bauwens, Christian Hafner, and Sébastien Laurent, forthcoming in 2012 (John Wiley & sons). This chapter presents an introductory review of volatility models and some applications. The review is linked...

Persistent link: https://www.econbiz.de/10010927710

The Role of Realised Volatility in the Athens Stock Exchange

Thomakos, Dimitrios D.; Koubouros, Michail S. - In: Multinational Finance Journal 15 (2011) 1-2, pp. 87-124

properties of the realized volatility series and on assessing the connection between realized volatility and returns through a … realized volatility and feedback effects, as well as the literature on the pricing power of realized risk …Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized …

Persistent link: https://www.econbiz.de/10010938713

Multiplicative Error Models

Brownlees, Christian T.; Cipollini, Fabrizio; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2011

Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: first, and foremost, volatility measured on the basis of...

Persistent link: https://www.econbiz.de/10009643126

Volatility timing and portfolio selection: How best to forecast volatility

Clements, Adam E; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2011

Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function used to estimate the parameters of a volatility...

Persistent link: https://www.econbiz.de/10009645704

Quantile Forecasts of Financial Returns Using Realized GARCH Models

Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011

This article applies the realized GARCH model, which incorporates the GARCH model with realized volatility (RV), to … of the plain realized volatility, implying that the realized GARCH model can adjust the bias of RV caused by …

Persistent link: https://www.econbiz.de/10009209768

Pricing Nikkei 225 Options Using Realized Volatility

Ubukata, Masato; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2011

This article analyzes whether daily realized volatility, which is the sum of squared intraday returns over a day, is … the dynamics of realized volatility. ARFIMA and HAR models can capture the long-memory property and ARFIMAX and HARX … model with daily realized volatility performs best, (2) the Hansen and Lunde ( 2005a) adjustment without using overnight and …

Persistent link: https://www.econbiz.de/10009249154