Search Results - subject:"instantaneous volatility"

Instantaneous volatility seasonality of high-frequency markets in directional-change intrinsic time

Petrov, Vladimir; Golub, Anton; Olsen, Richard - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-31

We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns and drawups non … one Bitcoin exchange rates, as well as a stock market index. We demonstrate the long memory of instantaneous volatility …

Persistent link: https://www.econbiz.de/10012611144

Instantaneous volatility seasonality of high-frequency markets in directional-change intrinsic time

Petrov, Vladimir; Golub, Anton; Olsen, Richard - In: Journal of risk and financial management : JRFM 12 (2019) 2/54, pp. 1-31

Persistent link: https://www.econbiz.de/10012022232

Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model (in English)

Zikes, Filip; Bubák, Vít - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 5-6, pp. 223-245

Using trade and quote data from the Prague Stock Exchange, this study investigates the empirical behavior of price durations defined as the time needed for a quote midpoint to move by a given amount. Focusing on the three most liquid securities traded on the exchange – Cesky Telecom, CEZ, and...

Persistent link: https://www.econbiz.de/10005808631

Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR

Morimoto, Takayuki - Econometric Society - 2004

, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore …

Persistent link: https://www.econbiz.de/10005702699