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Pricing Nikkei 225 Options Using Realized Volatility
Ubukata, Masato; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2011
useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure … noise and with or without using overnight and lunch-time returns. ARFIMA, ARFIMAX, HAR, HARX models are employed to specify … the dynamics of realized volatility. ARFIMA and HAR models can capture the long-memory property and ARFIMAX and HARX …
Persistent link: https://www.econbiz.de/10009249154
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Analytic Evaluation of Volatility Forecasts
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002
popular continuous-time models as GARCH, multi-factor affine, and log-normal diffusions, we find that the realized volatility … en temps continu usuels comme les modèles de diffusion GARCH, affine à plusieurs facteurs, et log-normal, nous trouvons …
Persistent link: https://www.econbiz.de/10005100878
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Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George - School of Economics and Management, University of Aarhus - 2009
Stock market volatility clusters in time, carries a risk premium, is fractionally integrated, and exhibits asymmetric leverage effects relative to returns. This paper develops a first internally consistent equilibrium based explanation for these longstanding empirical facts. The model is cast in...
Persistent link: https://www.econbiz.de/10005787548
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Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George - Duke University, Department of Economics - 2010
Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...
Persistent link: https://www.econbiz.de/10008549029
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Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011
The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized volatility and the market’s ex-ante expectation thereof,...
Persistent link: https://www.econbiz.de/10009399368
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Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George - Duke University, Department of Economics - 2009
Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage e®ects relative to returns. At the same time, the volatility risk premium, de¯ned by the di®erence between the risk-neutral and objective expectations of the...
Persistent link: https://www.econbiz.de/10008764951
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Expected Stock Returns and Variance Risk Premia
Bollerslev, Tim; Hao, Tzuo; Tauchen, George - School of Economics and Management, University of Aarhus - 2008
Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a non-trivial fraction of...
Persistent link: https://www.econbiz.de/10005114114
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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011755339
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Pricing Nikkei 225 Options Using Realized Volatility
Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2013
This article examines option pricing performance using realized volatilities with or without handling microstructure … noise, non-trading hours and large jumps. The dynamics of realized volatility is specified by ARFIMA(X) and HAR(X) models …
Persistent link: https://www.econbiz.de/10010614080
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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011568279