Search Results - subject:"Realized Volatility."

Decimalization, Realized Volatility, and Market Microstructure Noise

Vuorenmaa, Tommi A. - Volkswirtschaftliche Fakultät, … - 2008

This paper studies empirically the effect of decimalization on volatility and market microstructure noise. We apply several non-parametric estimators in order to accurately measure volatility and market microstructure noise variance before and after the final stage of decimalization which, on...

Persistent link: https://www.econbiz.de/10005620054

The Role of Realized Volatility in the Athens Stock Exchange

Thomakos, Dimitrios; Koubouros, Michail - Department of Economics, University of Peloponnese - 2008

properties of the realized volatility series and on assessing the connection between realized volatility and returns through an … 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/10005636106

Liquidity-Induced Dynamics in Futures Markets

Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...

Persistent link: https://www.econbiz.de/10005786918

Measuring causality between volatility and returns with high-frequency data

Dufour, Jean-Marie; García, René; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008

causality, we consider vector autoregressive models of returns and realized volatility and we measure these effects along with … volatilities (before and after filtering jumps through the bispectrum) and implied volatilities. Using only returns and realized … volatility, we find a weak dynamic leverage effect for the first four hours at the hourly frequency and a strong dynamic leverage …

Persistent link: https://www.econbiz.de/10008486971

Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets

Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank for International Settlements (BIS) - 2008

higher than those often recommended in the empirical literature on realized volatility in equity markets. The higher sampling …

Persistent link: https://www.econbiz.de/10005127701

Liquidity-Induced Dynamics in Futures Markets

Fagan, Stephen; Gencay, Ramazan - Economics and Econometrics Research Institute (EERI) - 2008

Persistent link: https://www.econbiz.de/10005169577

Expected Stock Returns and Variance Risk Premia

Bollerslev, Tim; Hao, Tzuo; Tauchen, George - School of Economics and Management, University of Aarhus - 2008

Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a non-trivial fraction of...

Persistent link: https://www.econbiz.de/10005114114

Estimating High-Frequency Based (Co-) Variances: A Unified Approach

Nolte, Ingmar; Voev, Valeri - School of Economics and Management, University of Aarhus - 2008

We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions, allowing for a general market microstructure noise specification. We show that our estimators can outperform, in terms of the root mean squared error criterion, the most recent and...

Persistent link: https://www.econbiz.de/10005114118

Impact of Foreign and Domestic Order Imbalances on Return and Volatility-Volume Relation

Ekaputra, Irwan Adi - In: Asian Academy of Management Journal of Accounting and … 10 (2014) 1, pp. 1-19

smaller-cap stocks. Using both absolute residuals and realized volatility as measures of volatility, this study finds the … realized volatility. …

Persistent link: https://www.econbiz.de/10011158436

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - In: Journal of Econometrics 183 (2014) 2, pp. 181-192

We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

Persistent link: https://www.econbiz.de/10011077615