Similar Search Results

Realized volatility forecasting in the presence of time-varying noise

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10009785979

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

The signal and the noise volatilities

Chaker, Selma - In: Research in international business and finance 50 (2019), pp. 79-105

Persistent link: https://www.econbiz.de/10012177017

A generalized heterogeneous autoregressive model using market information

Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; … - In: Quantitative finance 22 (2022) 8, pp. 1513-1534

Persistent link: https://www.econbiz.de/10013367925

Weighted least squares realized covariation estimation

Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013460187

Multiscale volatility analysis for noisy high-frequency prices

Leung, Tim; Zhao, Theodore - In: Risks : open access journal 11 (2023) 7, pp. 1-20

We present a multiscale analysis of the volatility of intraday prices from high-frequency data. Our multiscale … Brownian motion model is shown to possess a variety of volatility behaviors suitable for intraday price processes. Algorithms … and ETFs, we estimate the parameters in the noisy fractional Brownian motion and illustrate how the volatility varies over …

Persistent link: https://www.econbiz.de/10014335913

Volatility estimation and forecasts based on price durations

Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144

Persistent link: https://www.econbiz.de/10013542852

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

The contribution of jump signs and activity to forecasting stock price volatility

Bu, Ruijun; Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, … - In: Journal of empirical finance 70 (2023), pp. 144-164

Persistent link: https://www.econbiz.de/10014423623

Measuring China's stock market sentiment

Li, Jia; Chen, Yun; Shen, Yan; Wang, Jingyi; Huang, Zhuo - 2019

volatility. Finally, we show that trading volume will be higher when textual sentiment is unusually high or low and when there …

Persistent link: https://www.econbiz.de/10012125620