Search Results - subject:"integrated volatility"

Examining the role of jumps on the returns and integrated volatility of emerging Asian stock markets during global financial crises and Covid-19 : an application of the swap varian...

Zada, Hassan; Ullah, Mirzat; Kazi Sohag - In: Journal of asset management : a major new, … 26 (2025) 1, pp. 30-43

Persistent link: https://www.econbiz.de/10015331020

The effect of intraday periodicity on realized volatility measures

Dette, Holger; Golosnoy, Vasyl; Kellermann, Janosch - In: Metrika 86 (2022) 3, pp. 315-342

We focus on estimating daily integrated volatility ( IV ) by realized measures based on intraday returns following a …

Persistent link: https://www.econbiz.de/10015166148

Nonparametric estimation for high-frequency data incorporating trading information

Cui, Wenhao; Hu, Jie; Wang, Jiandong - In: Journal of econometrics 240 (2024) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10015075085

Do jumps matter in both equity market returns and integrated volatility: A comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies 9 (2021) 2, pp. 1-26

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … total variation shows considerable variations due to jumps. Integrated volatility is high during periods of negative jumps …

Persistent link: https://www.econbiz.de/10013199830

Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10012548334

Volatility measurement with pockets of extreme return persistence

Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27

Persistent link: https://www.econbiz.de/10014471793

New evidence of the marginal predictive content of small and large jumps in the cross-section

Yu, Bo; Mizrach, Bruce Marshall; Swanson, Norman R. - In: Econometrics 8 (2020) 2, pp. 1-52

We investigate the marginal predictive content of small versus large jump variation, when forecasting one-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation leads to greater value-weighted return differentials...

Persistent link: https://www.econbiz.de/10012696282

New evidence of the marginal predictive content of small and large jumps in the cross-section

Yu, Bo; Mizrach, Bruce Marshall; Swanson, Norman R. - In: Econometrics : open access journal 8 (2020) 2/19, pp. 1-52

Persistent link: https://www.econbiz.de/10012265498

Dependent microstructure noise and integrated volatility : estimation from high-frequency data

Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel - 2019

Persistent link: https://www.econbiz.de/10012703138

Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models

Choi, Seungmoon - In: KDI Journal of Economic Policy 40 (2018) 4, pp. 1-22

and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the … the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either …

Persistent link: https://www.econbiz.de/10012034837

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