Search Results - subject:"Realized measures"

Price discovery with a richer market microstructure noise

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, Cristina - 2026 - This version: January 29, 2022

Persistent link: https://www.econbiz.de/10015615683

Forecasting the value at risk of the crude oil futures market : do high-frequency data help?

Lyu, Yongjian; Yi, Heling; Qin, Fanshu; Liu, Jiatao; Ke, Rui - In: Journal of management science and engineering 10 (2025) 3, pp. 279-296

) outperforms all other models. (2) Not all realized measures are equally effective for VaR forecasting. The 5-s BPV model … consistently outperforms other realized measures in forecasting VaR. (3) The choice of sampling frequency plays a crucial role in … the performance of realized measures when forecasting VaR. (4) Many more sophisticated realized measures fail to surpass …

Persistent link: https://www.econbiz.de/10015467313

A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures

Liu, Junjie; Zhou, Qingnan; Chen, Zhenlong - In: The North American journal of economics and finance : a … 77 (2025), pp. 1-16

Persistent link: https://www.econbiz.de/10015374491

An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

Forecasting realized covariances using HAR-type models

Quiroz, Matias; Tafakori, Laleh; Manner, Hans - 2024

Persistent link: https://www.econbiz.de/10015185217

Deep learning enhanced volatility modeling with covariates

Hien Thi Nguyen; Nguyen, Hoang; Minh-Ngoc Tran - In: Finance research letters 69 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015191477

Assessing volatility persistence in fractional Heston models with self-exciting jumps

Truchis, Gilles de; Desgraupes, Bernard; Dumitrescu, … - In: Econometric reviews 44 (2025) 3, pp. 275-311

Persistent link: https://www.econbiz.de/10015196602

Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets

Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013465725

Semi-parametric financial risk forecasting incorporating multiple realized measures

Peiris, Rangika; Wang, Chao; Gerlach, Richard; … - In: Quantitative finance 24 (2024) 12, pp. 1823-1837

Persistent link: https://www.econbiz.de/10015196974

Tail risk forecasting with semiparametric regression models by incorporating overnight information

Chen, Cathy W. S.; Koike, Takaaki; Shau, Wei-Hsuan - In: Journal of forecasting 43 (2024) 5, pp. 1492-1512

Persistent link: https://www.econbiz.de/10015108416