Showing 1 - 9 of 9
Using unobservable conditional variance as measure, latentvariable approaches, such as GARCH and stochasticvolatility models, have traditionally been dominating the empirical finance literature. In recent years, with the availability of highfrequency financial market data modeling realized...
Persistent link: https://www.econbiz.de/10010986437
A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...
Persistent link: https://www.econbiz.de/10010986490
We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise,...
Persistent link: https://www.econbiz.de/10010958580
A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...
Persistent link: https://www.econbiz.de/10010958718
We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting functions of realized volatility, namely realized...
Persistent link: https://www.econbiz.de/10010958769
We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting functions of realized volatility, namely realized...
Persistent link: https://www.econbiz.de/10005022431
A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...
Persistent link: https://www.econbiz.de/10005022455
A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...
Persistent link: https://www.econbiz.de/10005120777
Using unobservable conditional variance as measure, latent–variable approaches, such as GARCH and stochastic–volatility models, have traditionally been dominating the empirical finance literature. In recent years, with the availability of high–frequency financial market data modeling...
Persistent link: https://www.econbiz.de/10005138845