Search Results - subject:"Realized Volatility."

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data

Masuda, Hiroki; Morimoto, Takayuki - Institute of Economic Research, Hitotsubashi University - 2009

In Japanese stock markets, there are two kinds of breaks, i.e., nighttime and lunch break, where we have no trading, entailing inevitable increase of variance in estimating daily volatility via naive realized variance (RV). In order to perform a much more stabilized estimation, we are concerned...

Persistent link: https://www.econbiz.de/10005675542

Localized Realized Volatility Modelling

Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … paper we adopt this view on the dependence structure of volatility and propose a localized procedure for modeling realized … volatility. That is at each point in time we determine a past interval over which volatility is approximated by a local linear …

Persistent link: https://www.econbiz.de/10005677947

Structured Multivariate Volatility Models

Caporin, Massimiliano; Paruolo, Paolo - Dipartimento di Scienze Economiche "Marco Fanno", … - 2009

models as well as for Stochastic- and Realized-Volatility models. The paper also discusses how to construct spatial weight …

Persistent link: https://www.econbiz.de/10005786744

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George - School of Economics and Management, University of Aarhus - 2009

pricing; stochastic volatility; leverage efiect; volatility feed- back; option implied volatility; realized volatility … detailed in Section 4.1. the evidence of fractional co-integration between implied and realized volatility presented by, e … implied than realized volatility. 3 High-frequency data for the VIX have only been available since 2003, so that the cross …

Persistent link: https://www.econbiz.de/10005787548

Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach

Piplack, J.; Beine, M.; Candelon, B. - School of Economics, Universiteit Utrecht - 2009

This paper analyzes common factors in the continuous volatility component, co-extreme and co-jump behavior of a sample of stock market indices. In order to identify those components in stock price processes during a trading day we use high-frequency data and techniques. We show that in most of...

Persistent link: https://www.econbiz.de/10005051482

On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting

Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 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/10008502108

Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data

Ning, Cathy; Xu, Dinghai; Wirjanto, Tony - Department of Economics, Ryerson University - 2009

Volatility clustering is a well-known stylized feature of financial asset returns. In this paper, we investigate the asymmetric pattern of volatility clustering on both the stock and foreign exchange rate markets. To this end, we employ copula-based semi-parametric univariate time-series models...

Persistent link: https://www.econbiz.de/10008549325

Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices

Ślepaczuk, Robert; Zakrzewski, Grzegorz - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2009

participants. The conception of volatility index is based on the combination of realized volatility and implied volatility which …

Persistent link: https://www.econbiz.de/10008496170

An Examination of "New" and "Old" Terrorism Using High-Frequency Data

Garvey, John; Mullins, Martin - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

two-scale realized volatility (TSRV) estimator is used to provide an insight into market activity in a number of FTSE-100 … five-minute realized volatility, are used to identify changes in risk perceptions in the immediate aftermath of the 11M …

Persistent link: https://www.econbiz.de/10008519462

Forecasting Realized Volatility Using A Nonnegative Semiparametric Model

PREVE, Daniel; ERIKSSON, Anders; YU, Jun - School of Economics, Singapore Management University - 2009

This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003) by way of a power transformation. It is...

Persistent link: https://www.econbiz.de/10008521812