Search Results - subject:"Realized Volatility."

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … vector autoregressive models of returns and realized volatility and we measure these effects along with the time lags … after filtering jumps through the bispectrum) and implied volatilities. Using only returns and realized volatility, we find …

Persistent link: https://www.econbiz.de/10008855592

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Institute of Economic Research, Kyoto University - 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/10008828715

Modelling and Forecasting Noisy Realized Volatility

Asai, M.; McAleer, M.J.; Medeiros, M. - Erasmus University Rotterdam, Econometric Institute - 2011

. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and …

Persistent link: https://www.econbiz.de/10008833191

Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach

Bach, Christian; Christensen, Bent Jesper - School of Economics and Management, University of Aarhus - 2011

We include simultaneously both realized volatility measures based on high-frequency asset returns and implied …

Persistent link: https://www.econbiz.de/10008835428

Particle filters and Bayesian inference in financial econometrics

Lopes, Hedibert F.; Tsay, Ruey S. - In: Journal of Forecasting 30 (2011) 1, pp. 168-209

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Persistent link: https://www.econbiz.de/10008774200

Modeling and forecasting realized range volatility

Caporin, Massimiliano; Velo, Gabriel G. - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...

Persistent link: https://www.econbiz.de/10009021695

Detecting instability in the volatility of carbon prices.

Chevallier, Julien - Université Paris-Dauphine - 2011

), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006 …

Persistent link: https://www.econbiz.de/10008725852

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Sévi, Benoît; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011

This article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in … contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). Realized …

Persistent link: https://www.econbiz.de/10010708614

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting.

Sévi, Benoît; Chevallier, Julien - Université Paris-Dauphine - 2011

Persistent link: https://www.econbiz.de/10008460928

Large Deviations of Realized Volatility

Kanaya, Shin; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011

This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency … financial data. We establish a large deviation principle for the realized volatility when the number of high frequency … of the realized volatility. We also derive a moderate deviation rate function for a standardized realized volatility …

Persistent link: https://www.econbiz.de/10009003656