High-dimensional estimation of quadratic variation based on penalized realized variance [PDF]
Stat Inference Stoch Process, 2022 In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale.
Christensen K, Nielsen M, Podolskij M.
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Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data [PDF]
Business Systems Research, 2018 Background: Since high-frequency data have become available, an unbiased volatility estimator, i.e. realized variance (RV) can be computed. Commonly used models for RV forecasting suffer from strong persistence with a high sensitivity to the returns ...
Arnerić Josip +2 more
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Forecasting the realized variance of oil-price returns: a disaggregated analysis of the role of uncertainty and geopolitical risk. [PDF]
Environ Sci Pollut Res Int, 2022 We contribute to the empirical literature on the predictability of oil-market volatility by comparing the predictive role of aggregate versus several disaggregated metrics of policy-related and equity-market uncertainties of the USA and geopolitical ...
Gupta R, Pierdzioch C.
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Modeling Realized Variance with Realized Quarticity
Stats, 2022 This paper proposes a model for realized variance that exploits information in realized quarticity. The realized variance and quarticity measures are both highly persistent and highly correlated with each other.
Hiroyuki Kawakatsu
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Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note [PDF]
International Review of Finance, 2021 We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive
Matteo Bonato +3 more
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Energies, 2021 We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance (RV) of oil-price movements, using monthly data over the longest available periods of 1915:01–2021:03 and ...
Rangan Gupta +2 more
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Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns [PDF]
Mathematical and Computational Applications, 2021 Using data for the group of G7 countries and China for the sample period 1996Q1 to 2020Q4, we study the role of uncertainty and spillovers for the out-of-sample forecasting of the realized variance of gold returns and its upside (good) and downside (bad)
Rangan Gupta, Christian Pierdzioch
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Using the realized relationship matrix to disentangle confounding factors for the estimation of genetic variance components of complex traits [PDF]
Genetics Selection Evolution, 2010 Background In the analysis of complex traits, genetic effects can be confounded with non-genetic effects, especially when using full-sib families. Dominance and epistatic effects are typically confounded with additive genetic and non-genetic effects ...
Visscher Peter M +3 more
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Intraday Speed of Adjustment and Realized Variances in the Indonesia Stock Exchange
Indonesian Capital Market Review, 2014 We examine the intraday trading and price dynamics for frequently traded stocks at the Indonesian Stock Exchange. Using trade price, time series generated at one, two, three, five, ten, fifteen, thirty and sixty-minute intervals, we estimate the speed of
Zaafri Ananto Husodo, Thomas Henker
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Efficiency of Recurrent Genomic Selection in Panmictic Populations [PDF]
AnimalsSimulation-based studies can support breeders’ decisions inexpensively, since there is no need to perform a new procedure. The objective was to assess the efficiency of recurrent genomic selection in panmictic population under additive–dominance and ...
José Marcelo Soriano Viana +2 more
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