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Portfolio volatility estimation relative to stock market cross-sectional intrinsic entropy

Vint̜e, Claudiu; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-24

Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market indices, or other portfolios is of great importance to professional fund managers and individual investors alike. Our research uses the cross-sectional intrinsic entropy (CSIE) model...

Persistent link: https://www.econbiz.de/10014305795

Bias reduction in spot volatility estimation from options

Todorov, Viktor; Zhang, Yang - In: Journal of econometrics 234 (2023) 1, pp. 53-81

Persistent link: https://www.econbiz.de/10014364661

Modelling and forecasting short-term interest rate volatility : a semiparametric approach

Hou, Ai Jun; Suardi, Sandy - In: Journal of empirical finance 18 (2011) 4, pp. 692-710

Persistent link: https://www.econbiz.de/10009306533

An automatic bias correction procedure for volatility estimation using extreme values of asset prices

Maheswaran, S.; Kumar, Dilip - In: Economic modelling 33 (2013), pp. 701-712

Persistent link: https://www.econbiz.de/10010194420

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008

A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices

Kumar, Dilip; Maheswaran, S. - In: Economic modelling 38 (2014), pp. 33-44

Persistent link: https://www.econbiz.de/10010418224

Initial margin model sensitivity analysis and volatility estimation

Houllier, Melanie; Murphy, David - In: The journal of financial market infrastructures 5 (2017) 4, pp. 77-103

Persistent link: https://www.econbiz.de/10011729235

A new statistic to capture the level dependence in stock price volatility

Padmakumari, Lakshmi; Maheswaran, S. - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 355-362

Persistent link: https://www.econbiz.de/10011792503

Volatility estimation and jump detection for drift-diffusion processes

Laurent, Sébastien; Shi, Shuping - In: Journal of econometrics 217 (2020) 2, pp. 259-290

Persistent link: https://www.econbiz.de/10012482762

Estimating risk in illiquid markets : a model of market friction with stochastic volatility

Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio - In: Journal of financial econometrics 22 (2024) 2, pp. 531-574

Persistent link: https://www.econbiz.de/10014526336