Results 31 to 40 of about 425,737 (311)
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
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
Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data
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
doaj +1 more source
Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model [PDF]
SSRN Electronic Journal, 2008 The increased availability of high-frequency data provides new tools for forecasting of variances and covariances between assets. However, recent realized (co)variance models may suffer from a 'curse of dimensionality' problem similar to that of multivariate GARCH specifications.
Matteo Bonato +2 more
openalex +3 more sources
An Unbiased Measure of Realized Variance
SSRN Electronic Journal, 2004 The realized variance (RV) is known to be biased because intraday returns are contaminated with market microstructure noise, in particular if intraday returns are sampled at high frequencies. In this paper, we characterize the bias under a general specification for the market microstructure noise, where the noise may be autocorrelated and need not be ...
Peter Reinhard Hansen, Asger Lunde
openalex +2 more sources
Optimal states and almost optimal adaptive measurements for quantum interferometry [PDF]
, 2000 We derive the optimal N-photon two-mode input state for obtaining an estimate \phi of the phase difference between two arms of an interferometer. For an optimal measurement [B. C. Sanders and G. J. Milburn, Phys. Rev. Lett.
A. S. Holevo +11 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
Sparse Change-Point Har Models for Realized Variance [PDF]
SSRN Electronic Journal, 2016 Change-point time series specifications constitute flexible models that capture unknown structural changes by allowing for switches in the model parameters.
Arnaud Dufays, Jeroen V. K. Rombouts
openaire +1 more source
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
doaj +1 more source