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Realized Volatility and Overnight Returns

Ahoniemi, Katja - 2016

No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where trading does not take place 24 hours a day. This paper explores several common volatility applications, investigating how the chosen treatment of overnight returns affects the...

Persistent link: https://www.econbiz.de/10013008710

Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift

Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221

Persistent link: https://www.econbiz.de/10011878816

Exploiting common features in macroeconomic and financial data

Çakmaklı, Cem - 2012

Persistent link: https://www.econbiz.de/10009713424

Sudden changes in extreme value volatility estimator : modeling and forecasting with economic significance analysis

Kumar, Dilip - In: Economic modelling 49 (2015), pp. 354-371

Persistent link: https://www.econbiz.de/10011439594

Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty

Qiu, Yue; Wang, Zongrun; Xie, Tian; Zhang, Xinyu - In: Journal of empirical finance 62 (2021), pp. 179-201

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Semiparametric density forecasts of daily financial returns from intraday data

Hallam, Mark; Olmo, Jose - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 408-432

Persistent link: https://www.econbiz.de/10010351542

Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD

Feng, Yuanhua; Chen Zhou - In: International journal of forecasting 31 (2015) 2, pp. 349-363

Persistent link: https://www.econbiz.de/10011474104

Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261

The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom : evidence from a nonparametric causality-in-quantiles test using over 250 years of data

Gupta, Rangan; Risse, Marian; Volkman, David A.; Wohar, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 391-405

Persistent link: https://www.econbiz.de/10012117890

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208