Search Results - subject:"Realized Volatility."

Does beta move with news?: Systematic risk and firm-specific information flows

Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...

Persistent link: https://www.econbiz.de/10011071113

The Intertemporal Relation between Expected Return and Risk on Currency

Bali, Turan; Yilmaz, Kamil - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2009

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides...

Persistent link: https://www.econbiz.de/10008556278

Forecasting realized (co)variances with a block structure Wishart autoregressive model

Caporin, Massimiliano; Ranaldo, Angelo; Bonato, Matteo - Schweizerische Nationalbank (SNB) - 2009

In modelling and forecasting volatility, two main trade-offs emerge: mathematical tractability versus economic interpretation and accuracy versus speed. The authors attempt to reconcile, at least partially, both trade-offs. The former trade-off is crucial for many financial applications,...

Persistent link: https://www.econbiz.de/10004984637

Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

Nolte, Ingmar; Voev, Valeri - School of Economics and Management, University of Aarhus - 2009

, Realized volatility, Market microstruc- ture ∗We would like to thank Peter Hansen, Asger Lunde, Mark Podolskij, Almut Veraart … subsampling estimator, very much in the spirit of the two-scales realized volatility (TSRV) of Zhang, Mykland & A¨ıt-Sahalia (2005 …) and the multi-scales realized volatility (MSRV) of Zhang (2006). We also consider the realized kernels (RK) of Barndorff …

Persistent link: https://www.econbiz.de/10005000435

On the economic benefit of utility based estimation of a volatility model

Clements, Adam; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2009

historical realized volatility. … historical realized volatility. Keywords Volatility, utility, portfolio allocation, realized volatility, MIDAS JEL Classification …) Realized Volatility and Correlation. Working Paper, University of Pennsylvania. Andersen T.G., Bollerslev T., Diebold F.X. and …

Persistent link: https://www.econbiz.de/10005015195

Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis

Rotfuß, Waldemar - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates …

Persistent link: https://www.econbiz.de/10005098352

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

Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

issue by characterizing 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 during Phase II (2008-2012) of the EU ETS. The realized …

Persistent link: https://www.econbiz.de/10005078954

Long Memory and Tail dependence in Trading Volume and Volatility

Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2009

informative process. Log-realized volatility and log-volume are characterized by upper and lower tail dependence, where the …-rundependenciesofvolatilityandvolume,sup- posing that are driven by the same informative process. Log-realized volatility and log-volume are characterized by upper and … present a simulation exercise to validate the model. Keywords. Realized Volatility, Trading Volume, Fractional Cointegration …

Persistent link: https://www.econbiz.de/10005079004

Information Loss in Volatility Measurement with Flat Price Trading

Phillips, Peter C. B.; Yu, Jun - Institute of Economic Research, Hitotsubashi University - 2009

pricing mechanism in macroeconomic dynamics. A limit theory for the conventional realized volatility (RV) measure of … Mykland and Zhang (2006) on realized volatility measures with random and intermittent sampling, and to ACD models for …

Persistent link: https://www.econbiz.de/10005650693

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Ishida, Isao; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2009

In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations … Nikkei 225 realized volatility time series and their square-root and log transformations, the residuals of the model suggest …

Persistent link: https://www.econbiz.de/10005650696