Results 11 to 20 of about 425,737 (311)
Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers
Energies, 2021 We use a dataset for the group of G7 countries and China to study the out-of-sample predictive value of uncertainty and its international spillovers for the realized variance of crude oil (West Texas Intermediate and Brent) over the sample period from ...
Rangan Gupta, Christian Pierdzioch
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Realized range-based estimation of integrated variance [PDF]
Journal of Econometrics, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kim Christensen, Mark Podolskij
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Dynamic Realized Minimum Variance Portfolio Models
SSRN Electronic Journal, 2023 35 pages with Appendix 15 pages (total 50 pages)
Donggyu Kim, Minseog Oh
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Mathematics, 2021 At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
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Realized Variance and Market Microstructure Noise [PDF]
Journal of Business & Economic Statistics, 2005 We study market microstructure noise in high-frequency data and analyze its implications for the realized variance (RV) under a general specification for the noise. We show that kernel-based estimators can unearth important characteristics of market microstructure noise and that a simple kernel-based estimator dominates the RV for the estimation of ...
Peter Reinhard Hansen, Asger Lunde
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Realized Variance Modeling: Decoupling Forecasting from Estimation* [PDF]
Journal of Financial Econometrics, 2020 Abstract This article evaluates the in-sample fit and out-of-sample forecasts of various combinations of realized variance models and functions delivering estimates (estimation criteria). Our empirical findings highlight that: independently of the econometrician’s forecasting loss (FL) function, certain estimation criteria perform ...
Fabrizio Cipollini +2 more
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Economies, 2021 In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and
Hassan Zada +2 more
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Characterizing financial markets from the event driven perspective
Applied Network Science, 2021 In this work we study how company co-occurrence in news events can be used to discover business links between them. We develop a methodology that is able to process raw textual data, embed it into a numerical form, and extract a meaningful network of ...
Miha Torkar, Dunja Mladenic
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Options on Realized Variance in Log-OU Models [PDF]
Applied Mathematical Finance, 2012 Abstract We study the pricing of options on realized variance in a general class of Log-OU (Ornstein–Uhlenbeck) stochastic volatility models. The class includes several important models proposed in the literature. Having as common feature the log-normal law of instantaneous variance, the application of standard Fourier–Laplace transform methods is not ...
Gabriel G. Drimus
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Heliyon, 2023 In this paper, based on the Realized GARCH model, the fractional integration Realized GARCH model is proposed by combining long memory parameters with conditional variance and replacing the original realized measure with the realized measure obtained ...
Mei Xiao +4 more
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