Results 301 to 310 of about 425,737 (311)
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Long Memory in Integrated and Realized Variance
2013The long memory properties of the integrated and realized volatility are investigated under the assumption that the instantaneous volatility is driven by a fractional Brownian motion. The equality of their long memory degrees is proved in the ideal situation when prices are observed continuously. In this case, the spectral density of the integrated and
Rossi, Eduardo +1 more
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Microstructure Noise, Realized Variance, and Optimal Sampling
Review of Economic Studies, 2008A recent and extensive literature has pioneered the summing of squared observed intra-daily returns, "realized variance", to estimate the daily integrated variance of financial asset prices, a traditional object of economic interest. We show that, in the presence of market microstructure noise, realized variance does not identify the daily integrated ...
F. M. Bandi, J. R. Russell
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Properties of Realized Variance Under Alternative Sampling Schemes
Journal of Business & Economic Statistics, 2006This paper investigates the statistical properties of the realized variance estimator in the presence of market microstructure noise. Different from the existing literature, the analysis relies on a pure jump process for high frequency security prices and explicitly distinguishes among alternative sampling schemes, including calendar time sampling ...
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Minimum variance lower bound estimation and realization for desired structures
ISA Transactions, 2014The Minimum Variance Lower Bound (MVLB) represents the best achievable controller capability in a variance sense. Estimation and realization of MVLB for nonlinear systems confront some difficulties. Hence, almost all methods introduced so far estimate MVLB for a certain structure (e.g., NARMAX) or controller (e.g. PID).
Yousef, Alipouri, Javad, Poshtan
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Improving variance forecasts: The role of Realized Variance features
International Journal of Forecasting, 2023Ioannis Papantonis +2 more
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Parallel option pricing on GPU: barrier options and realized variance options
The Journal of Supercomputing, 2012This paper shows two examples of how the analysis of option pricing problems can lead to computational methods efficiently implemented in parallel. These computational methods outperform “general purpose” methods (i.e., for example, Monte Carlo, finite differences methods).
Lorella Fatone +4 more
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Convex Order Properties of Discrete Realized Variance and Applications to Variance Options
SSRN Electronic Journal, 2011We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in increasing convex order. The result has immediate applications to the pricing of options on realized variance. For a class of models including time-changed
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Implications of market microstructure for realized variance measurement
The European Journal of Finance, 2009Volatility measuring and estimation based on intra-day high-frequency data has grown in popularity during the last few years. A significant part of the research uses volatility and variance measures based on the sum of squared high-frequency returns. These volatility measures, introduced and mathematically justified in a series of papers by Andersen et
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Forecast Combination in Cryptocurrency Realized Variance
2022Qiu, Yue +3 more
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