Results 21 to 30 of about 2,813,405 (313)
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
doaj +1 more source
Uncertainty index and stock volatility prediction: evidence from international markets
Financial Innovation, 2022 This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective.
Xue Gong +3 more
doaj +1 more source
Development of high-frequency volatility estimators in pricing and trading stock options
π-Economy, 2022 Asset return volatility plays a key role in derivative pricing and hedging, risk management and portfolio allocation decisions. This study examined the economic benefit of high-frequency volatility estimators (measures realized) in option pricing and ...
Gayomey John, Zaytsev Andrey
doaj +1 more source
Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH [PDF]
مدلسازی اقتصادسنجی, 2018 Estimation of conditional variance has lots of application reflecting economic, especially financial economics, social economics and political economics’ risk and volatility research.
Esmaiel Abounoori, Mohammad Amin Zabol
doaj +1 more source
Options on realized variance and convex orders [PDF]
, 2010 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.
Carr, P. +3 more
core +3 more sources
Sichuan jingshen weisheng, 2022 The purpose of this paper was to introduce the factorial design and its quantitative data analysis of variance and the SAS implementation. Factorial design could not only present the main effect magnitude of all experimental factors， but also ...
Hu Chunyan, Hu Liangping
doaj +1 more source
Sparse Change-Point Har Models for Realized Variance
, 2016 Arnaud Dufays, Jeroen V.K. Rombouts
openalex +2 more sources
A framework for exploring the macroeconomic determinants of systematic risk [PDF]
, 2005 We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting ...
Andersen, Torben G. +3 more
core +2 more sources
Spectral methods for volatility derivatives [PDF]
, 2009 In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio +2 more
core +2 more sources
Do Liquidity Proxies Based on Daily Prices and Quotes Really Measure Liquidity?
Entropy, 2020 This paper examines whether liquidity proxies based on different daily prices and quotes approximate latent liquidity. We compare percent-cost daily liquidity proxies with liquidity benchmarks as well as with realized variance estimates.
Barbara Będowska-Sójka +1 more
doaj +1 more source