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Realized beta : persistence and predictability [PDF]
, 2003 A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM.
Andersen, Torben G. +3 more
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Realized density estimation using intraday prices
Croatian Review of Economic, Business and Social Statistics, 2020 Availability of high-frequency data, in line with IT developments, enables the use of Availability of high-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but also higher ...
Arnerić Josip
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How Does the Volatility of Volatility Depend on Volatility?
Risks, 2020 We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance ...
Sigurd Emil Rømer, Rolf Poulsen
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Forecasting, 2022 In this paper, we conduct a thorough investigation of the predictive ability of forward and backward stepwise regressions and hidden Markov models for the futures returns of several commodities.
Massimo Guidolin, Manuela Pedio
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Genetics Selection Evolution, 2010 Background In the analysis of complex traits, genetic effects can be confounded with non-genetic effects, especially when using full-sib families. Dominance and epistatic effects are typically confounded with additive genetic and non-genetic effects ...
Visscher Peter M +3 more
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A Stochastic Volatility Model With Realized Measures for Option Pricing [PDF]
, 2019 Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to ...
Bormetti, G. +3 more
core +5 more sources
Improving Markov switching models using realized variance [PDF]
Journal of Applied Econometrics, 2017 SummaryThis paper proposes a class of models that jointly model returns and ex post variance measures under a Markov switching framework. Both univariate and multivariate return versions of the model are introduced. Estimation can be conducted under a fixed dimension state space or an infinite one.
Jia Liu, John M. Maheu
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Analisis Belanja Daerah pada Pemerintah Daerah Kabupaten Jepara
Jurnal Akuntansi, 2022 This study aims to determine the magnitude of variance ratio analysis and regional spending compatibility ratio analysis in Jepara Regency Regional Government for the period 2017 to 2020.
Agustiyana Lailatus Sholikhah +1 more
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Term structure of interest rates with short-run and long-run risks
Journal of Finance and Data Science, 2022 We find that interest rate variance risk premium (IRVRP) — the difference between implied and realized variances of interest rates — is a strong predictor of U.S.
Olesya V. Grishchenko +2 more
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Nuclear Engineering and Technology, 2019 It is well known that the variance of tally is biased in a Monte Carlo calculation based on the power iteration method. Several studies have been conducted to estimate the real variance.
Jae Yong Lee +4 more
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