Showing 1 - 10 of 41
Persistent link: https://www.econbiz.de/10003834236
Persistent link: https://www.econbiz.de/10003870045
Persistent link: https://www.econbiz.de/10011333073
Abstract Using recently proposed estimators of the variation of positive and negative returns (“realized semivariances”), and high frequency data for the S&P 500 index and 105 individual stocks, this paper sheds new light on the predictability of equity price volatility. We show that future...
Persistent link: https://www.econbiz.de/10013092293
Persistent link: https://www.econbiz.de/10011499439
Persistent link: https://www.econbiz.de/10009242129
Persistent link: https://www.econbiz.de/10009242521
Persistent link: https://www.econbiz.de/10003834225
High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to...
Persistent link: https://www.econbiz.de/10009650770
We propose a new class of multivariate volatility models utilizing realized measures of asset volatility and covolatility extracted from high-frequency data. Dimension reduction for estimation of large covariance matrices is achieved by imposing a factor structure with time-varying conditional...
Persistent link: https://www.econbiz.de/10013053429