Search Results - subject:"Realized Volatility."

Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach

Triacca, Umberto; Focker, Fulvia - In: Decisions in Economics and Finance 37 (2014) 2, pp. 235-254

generally do not trade during the overnight period, measures of realized volatility cannot be computed on a “high …-frequency” basis. Some studies have resorted to using the square overnight return as a proxy for the overnight realized volatility, but …

Persistent link: https://www.econbiz.de/10010993492

Volatility forecasting using high frequency data: Evidence from stock markets

Çelik, Sibel; Ergin, Hüseyin - In: Economic Modelling 36 (2014) C, pp. 176-190

The paper aims to suggest the best volatility forecasting model for stock markets in Turkey. The findings of this paper support the superiority of high frequency based volatility forecasting models over traditional GARCH models. MIDAS and HAR-RV-CJ models are found to be the best among high...

Persistent link: https://www.econbiz.de/10011048965

Infinite-order, long-memory heterogeneous autoregressive models

Hwang, Eunju; Shin, Dong Wan - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 339-358

provides a theoretical justification for wide use of the HAR(3) model in predicting long-memory realized volatility. The …

Persistent link: https://www.econbiz.de/10011056608

Forecasting volatility of the U.S. oil market

Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of Banking & Finance 47 (2014) C, pp. 1-14

We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in … volatility. In out-of-sample forecasting we find that econometric models based on realized volatility can be improved by …

Persistent link: https://www.econbiz.de/10011065575

Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility

Ma, Feng; Wei, Yu; Huang, Dengshi; Chen, Yixiang - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 171-180

forecasting performance of HAR-RV and Multifractal volatility, Realized volatility, Realized Bipower Variation and their …

Persistent link: https://www.econbiz.de/10010931536

Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?

Jung, R.C.; Maderitsch, R. - In: Journal of Banking & Finance 47 (2014) C, pp. 331-342

United States covering the time period from 2000 up to 2011. Using intra-daily data we compute realized volatility time …

Persistent link: https://www.econbiz.de/10010931661

Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV

Lahaye, Jerome; Shaw, Philip - In: Economics Letters 125 (2014) 1, pp. 43-46

This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized … volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model …

Persistent link: https://www.econbiz.de/10010939493

Large and moderate deviations of realized covolatility

Djellout, Hacène; Samoura, Yacouba - In: Statistics & Probability Letters 86 (2014) C, pp. 30-37

In this note, we consider the large and moderate deviation principle of the estimators of the integrated covariance of two-dimensional diffusion processes when they are observed only at discrete times in a synchronous manner. The proof is extremely simple. It is essentially an application of the...

Persistent link: https://www.econbiz.de/10011040033

Realized volatility transmission: The role of jumps and leverage effects

Souček, Michael; Todorova, Neda - In: Economics Letters 122 (2014) 2, pp. 111-115

This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and … considered assets do not contain incremental information for the one-step ahead realized volatility. The volatility of S&P 500 … and US$/EUR exchange rate futures exhibits significant spillovers to the realized volatility of WTI. Moreover, decreasing …

Persistent link: https://www.econbiz.de/10011041795

Optimally sampled realized range-based volatility estimators

Vortelinos, Dimitrios I. - In: Research in International Business and Finance 30 (2014) C, pp. 34-50

the realized volatility estimator. The family of realized range-based estimators is extended as three range …

Persistent link: https://www.econbiz.de/10010719033