Modeling Realized Variance with Realized Quarticity [PDF]
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, Spillovers, and Forecasts of the Realized Variance of Gold Returns
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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Transformer-Based Downside Risk Forecasting: A Data-Driven Approach with Realized Downward Semi-Variance [PDF]
MathematicsRealized downward semi-variance (RDS) has been realized as a key indicator to measure the downside risk of asset prices, and the accurate prediction of RDS can effectively guide traders’ investment behavior and avoid the impact of market fluctuations ...
Yuping Song +5 more
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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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High-dimensional estimation of quadratic variation based on penalized realized variance [PDF]
Stat Inference Stoch Process, 2022 Christensen K, Nielsen M, Podolskij M.
europepmc +3 more sources
ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES [PDF]
The Econometrics Journal, 2002 Summary: This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR-SARV(2) models. This class of processes includes affine, GARCH diffusion, and CEV models, as well as the eigenfunction stochastic volatility and the positive Ornstein-Uhlenbeck models ...
Nour Meddahi
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Realized Variance and IID Market Microstructure Noise [PDF]
, 2004 We analyze the properties of a bias-corrected realized variance (RV) in the presence of iid market microstructure noise. The bias correction is based on the first-order autocorrelation of intraday returns and we derive the optimal sampling frequency as ...
Asger Lunde, Peter Reinhard Hansen
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Options on Realized Variance and Convex Orders [PDF]
SSRN Electronic Journal, 2009 Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk-neutral densities are said to be increasing in the convex order. For Levy processes, such prices decrease with maturity. A time series
Peter Carr +3 more
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From zero to hero: Realized partial (co)variances [PDF]
Journal of Econometrics, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bollerslev, T +3 more
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Investigation of the Effects of Price Limit Changes on the Intraday Volatility of Iran’s Stock Market Using Realized Variance (RV) and District Fourier Transform (DFT) [PDF]
Journal of Asset Management and Financing, 2023 In this paper, the effect of a change in price limit on Iran’s stock market and its volatility was studied by applying two methods. One was Realized Variance (RV) before and after the price change was applied and the other was District Fourier Transform (
Mohammad Hasannezhad +2 more
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