Search Results - subject:"Realized range"

Recent developments in financial economics and econometrics: An overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 217-226

performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non …

Persistent link: https://www.econbiz.de/10011056697

Forecasting volatility with the realized range in the presence of noise and non-trading

Bannouh, Karim; Martens, Martin; Dijk, Dick van - In: The North American journal of economics and finance : a … 26 (2013), pp. 535-551

Persistent link: https://www.econbiz.de/10010370495

Impact of open interest on realized volatility in oil futures

Chung, Huimin; Tseng, Tseng-chan; Chen, Chi-yuan - In: The empirical economics letters : a monthly … 12 (2013) 8, pp. 853-860

Persistent link: https://www.econbiz.de/10010363101

Recent developments in financial economics and econometrics : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael - In: The North American journal of economics and finance : a … 26 (2013), pp. 217-226

Persistent link: https://www.econbiz.de/10010365773

Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures

Liu, Hung-Chun; Chiang, Shu-Mei; Cheng, Nick Ying-Pin - In: International Review of Economics & Finance 22 (2012) 1, pp. 78-91

We employ four various GARCH-type models, incorporating the skewed generalized t (SGT) errors into those returns innovations exhibiting fat-tails, leptokurtosis and skewness to forecast both volatility and value-at-risk (VaR) for Standard & Poor's Depositary Receipts (SPDRs) from 2002 to 2008....

Persistent link: https://www.econbiz.de/10010573100

Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures

Liu, Hung-Chun; Chiang, Shu-mei; Cheng, Nick Ying-pin - In: International review of economics & finance : IREF 22 (2012) 1, pp. 78-91

Persistent link: https://www.econbiz.de/10009618705

The properties and mechanism of long-term memory in nonparametric volatility

Li, Handong; Cao, Shi-Nan; Wang, Yan - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3254-3259

Recent empirical literature documents the presence of long-term memory in return volatility. But the mechanism of the existence of long-term memory is still unclear. In this paper, we investigate the origin and properties of long-term memory with nonparametric volatility, using high-frequency...

Persistent link: https://www.econbiz.de/10010589898

Modeling Jump and Continuous Components in the Volatility of Oil Futures

Tseng, Tseng-Chan; Chung, Huimin; Huang, Chin-Sheng - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 3, pp. 1671-1671

range to estimate realized range-based volatility (RRV) forecasts for oil futures prices. Our findings demonstrate that the … HAR-RRV models, involving volatility measures with a realized range-based estimator, successfully capture the long …-term memory behavior of volatility in oil futures contracts. We find that realized range-based bi-power variation (RBV), which is …

Persistent link: https://www.econbiz.de/10005046514

Bias-correcting the realized range-based variance in the presence of market microstructure noise

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Finance and Stochastics 13 (2009) 2, pp. 239-268

Persistent link: https://www.econbiz.de/10005613461