Search Results - subject:"Realized Volatility."

Factor Analysis with Large Panels of Volatility Proxies

Ghysels, Eric - C.E.P.R. Discussion Papers - 2014

We consider estimating volatility risk factors using large panels of filtered or realized volatilities. The data structure involves three types of asymptotic expansions. There is the cross-section of volatility estimates at each point in time, namely i = 1,…, N observed at dates t = 1,…, T:...

Persistent link: https://www.econbiz.de/10011083764

State dependence of aggregated risk aversion: Evidence for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of Applied Economics XVII (2014) November, pp. 257-282

price of risk (MPR) reflecting both cross market dependence and future investment opportunities. The realized volatility …

Persistent link: https://www.econbiz.de/10011085114

Overnight information flow and realized volatility forecasting

Todorova, Neda; Souček, Michael - In: Finance Research Letters 11 (2014) 4, pp. 420-428

shows that considering overnight information separately rather than adding it to the daily realized volatility estimates … approach is to combine the assets’ own overnight returns with realized volatility estimates of related assets from other …This study compares various approaches for incorporating the overnight information flow for forecasting realized …

Persistent link: https://www.econbiz.de/10011118172

Volatility linkage across global equity markets

Ding, Liang; Huang, Yirong; Pu, Xiaoling - In: Global Finance Journal 25 (2014) 2, pp. 71-89

This paper analyzes the volatility linkage across the U.S., European, German, Japanese, and Swiss equity markets from 1999 to 2009. Both the unconditional and conditional correlations exhibit large fluctuations during the sample period. The results from the VAR analysis show an asymmetric...

Persistent link: https://www.econbiz.de/10011120380

Realized stochastic volatility with leverage and long memory

Shirota, Shinichiro; Hizu, Takayuki; Omori, Yasuhiro - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 618-641

The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with … its error distribution is approximated by a mixture of normals. In addition, the logarithm of the realized volatility is …

Persistent link: https://www.econbiz.de/10010776990

Efficient importance sampling in mixture frameworks

Kleppe, Tore Selland; Liesenfeld, Roman - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 449-463

A flexible importance sampling procedure for the likelihood evaluation of dynamic latent variable models involving mixtures of distributions leading to possibly heavy tailed or multi-modal target densities is provided. The procedure is based upon the efficient importance sampling (EIS) approach...

Persistent link: https://www.econbiz.de/10010776997

Discrete stochastic autoregressive volatility

Cordis, Adriana S.; Kirby, Chris - In: Journal of Banking & Finance 43 (2014) C, pp. 160-178

We use Markov chain methods to develop a flexible class of discrete stochastic autoregressive volatility (DSARV) models. Our approach to formulating the models is straightforward, and readily accommodates features such as volatility asymmetry and time-varying volatility persistence. Moreover, it...

Persistent link: https://www.econbiz.de/10010777121

Asymmetric Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Department of Economics and Finance, College of … - 2014

errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are … of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility … model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility …

Persistent link: https://www.econbiz.de/10010907404

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

Asai, Manabu; McAleer, Michael - Department of Economics and Finance, College of … - 2014

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

Persistent link: https://www.econbiz.de/10010907411

A noise-robust estimator of volatility based on interquantile ranges

Yeh, Jin-Huei; Wang, Jying-Nan; Kuan, Chung-Ming - In: Review of Quantitative Finance and Accounting 43 (2014) 4, pp. 751-779

This paper proposes a new class of estimators based on the interquantile range of intraday returns, referred to as interquantile range based volatility (IQRBV), to estimate the integrated daily volatility. More importantly and intuitively, it is shown that a properly chosen IQRBV is jump-free...

Persistent link: https://www.econbiz.de/10010989639