In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a …

on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed …

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric …-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most … volatile and shocks to volatility of stock returns are asymmetric. The implications of this are that: first, investors should …

time series ; semiparametric model ; k-NN estimation ; local polynomial regression ; volatility forecasting …