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The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps [PDF]
We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.
Bent Jesper Christensen +2 more
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The Volatility of Realized Volatility [PDF]
Using unobservable conditional variance as measure, latent–variable approaches, such as GARCH and stochastic–volatility models, have traditionally been dominating the empirical finance literature.
Christian Pigorsch +3 more
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Multivariate Realized Stock Market Volatility [PDF]
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. The model has several advantages: it is parsimonious; it does not require
Gregory H. Bauer, Keith Vorkink
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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk [PDF]
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 ...
Francis X. Diebold +3 more
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HARNet: A Convolutional Neural Network for Realized Volatility Forecasting [PDF]
, 2022 Rafael Reisenhofer +2 more
openalex +1 more source
On the volatility-volume relationship in energy futures markets using intraday data [PDF]
This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data.
Benoît Sévi, Julien Chevallier
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A Threshold Stochastic Volatility Model with Realized Volatility [PDF]
Rapid development in the computer technology has made the financial transaction data visible at an ultimate limit level. The realized volatility, as a proxy for the "true" volatility, can be constructed using the high frequency data. This paper extends a
Dinghai Xu
core
Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment [PDF]
, 2021 Rangan Gupta, Christian Pierdzioch
openalex +1 more source
Is it worth tracking dollar/real implied volatility?
Economia Aplicada, 2001 In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to February 2001.
Sandro Canesso de Andrade +1 more
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