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Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach
Piplack, J.; Beine, M.; Candelon, B. - School of Economics, Universiteit Utrecht - 2009
This paper analyzes common factors in the continuous volatility component, co-extreme and co-jump behavior of a sample of stock market indices. In order to identify those components in stock price processes during a trading day we use high-frequency data and techniques. We show that in most of...
Persistent link: https://www.econbiz.de/10005051482
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Realizing smiles : options pricing with relized volatility
Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - In: Journal of financial economics 107 (2013) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10009719740
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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The importance of belief dispersion in the response of gold futures to macroeconomic announcements
Smales, Lee A.; Yang, Yi - In: International review of financial analysis 41 (2015), pp. 292-302
Persistent link: https://www.econbiz.de/10011508993
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Currency risk : comovements and intraday cojumps
Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76
Persistent link: https://www.econbiz.de/10011592734
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Forecasting the intra-day effective bid ask spread by combining density forecasts
Fall, Malick; Louhichi, Waël; Viviani, Jean-Laurent - In: Applied economics 53 (2021) 50, pp. 5772-5792
Persistent link: https://www.econbiz.de/10012627098
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Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
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Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
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A realized volatility approach to option pricing with continuous and jump variance components
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 639-664
Persistent link: https://www.econbiz.de/10012127296
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Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH
Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23
In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five...
Persistent link: https://www.econbiz.de/10012018629