Search Results - subject:"Realized Volatility."

The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations

van Dijk, Dick; Chulia-Soler, Chulia-Soler, H.; … - Erasmus Research Institute of Management (ERIM), … - 2007

We study the impact of FOMC announcements of Federal funds target rate decisions on individual stock prices at the intraday level. We find that the returns, volatilities and correlations of the S&P100 index constituents only respond to the surprise component in the announcement, as measured by...

Persistent link: https://www.econbiz.de/10010731264

Proxies for daily volatility

Vilder, Robin De; Visser, Marcel P. - HAL - 2007

proxy that outperforms realized volatility. …

Persistent link: https://www.econbiz.de/10010738760

The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations

Chulia-Soler, H.; Martens, M.P.E.; Dijk, D.J.C. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

, high-frequency data, realized volatility Availability The ERIM Report Series is distributed through the following …, interest rate surprises, high- frequency data, realized volatility JEL Classiflcation: E44, E52, G14 ⁄We thank participants at … thereafter, following Fleming and Piazzesi (2005).10 In particular, we compute the realized volatility (RV) for stock i for the …

Persistent link: https://www.econbiz.de/10004991151

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - School of Economics and Management, University of Aarhus - 2007

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … future realized volatility components in all three markets. Perhaps surprisingly, the jump component is, to some extent …

Persistent link: https://www.econbiz.de/10005004428

Stale information, shocks and volatility

Gropp, Reint; Kadareja, Arjan - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2007

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...

Persistent link: https://www.econbiz.de/10005097569

Are combination forecasts of S&P 500 volatility statistically superior?

Becker, Ralf; Clements, Adam - National Centre for Econometric Research (NCER) - 2007

Forecasting volatility has received a great deal of research attention. Many articles have considered the relative performance of econometric model based and option implied volatility forecasts. While many studies have found that implied volatility is the preferred approach, a number of issues...

Persistent link: https://www.econbiz.de/10005635666

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

McAller, Michael; Medeiros, Marcelo C. - Departamento de Economia, Pontifícia Universidade … - 2007

In this paper we propose a flexible model to capture nonlinearities and long-range dependence in time series dynamics. The new model is a multiple regime smooth transition extension of the Heterogenous Autoregressive (HAR) model, which is specifically designed to model the behavior of the...

Persistent link: https://www.econbiz.de/10005744743

Volatility Proxies for Discrete Time Models

Vilder, Robin G. de; Visser, Marcel P. - Volkswirtschaftliche Fakultät, … - 2007

be used to construct proxies for these scale factors. Examples are the intraday high-low range and the realized … volatility. This paper develops a method for ranking and optimizing volatility proxies. It is possible to outperform the …

Persistent link: https://www.econbiz.de/10005617173

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2007

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These...

Persistent link: https://www.econbiz.de/10005762525

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2007

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility – in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the...

Persistent link: https://www.econbiz.de/10005787544