Realized volatility and absolute return volatility: a comparison indicating market risk. [PDF]
PLoS ONE, 2014 Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies.
Zeyu Zheng +4 more
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The predictive power of Bitcoin prices for the realized volatility of US stock sector returns. [PDF]
Financ Innov, 2023 This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets.
Bouri E, Salisu AA, Gupta R.
europepmc +2 more sources
Macro factors and the realized volatility of commodities: A dynamic network analysis. [PDF]
Resour Policy, 2020 This paper explores the relationship between macro-factors and the realized volatility of commodity futures. Three main commodities—soybeans, gold and crude oil—are investigated using high-frequency data.
Hu M, Zhang D, Ji Q, Wei L.
europepmc +2 more sources
Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach [PDF]
Financial Innovation, 2023 Because the U.S. is a major player in the international oil market, it is interesting to study whether aggregate and state-level economic conditions can predict the subsequent realized volatility of oil price returns.
Rangan Gupta, Christian Pierdzioch
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The predictive power of oil price shocks on realized volatility of oil: A note. [PDF]
Resour Policy, 2020 This paper examines the predictive power of oil supply, demand and risk shocks over the realized volatility of intraday oil returns. Utilizing the heterogeneous autoregressive realized volatility (HAR-RV) framework, we show that all shock terms on their ...
Demirer R +3 more
europepmc +2 more sources
Forecasting realized volatility through financial turbulence and neural networks
Economics and Business Review, 2023 This paper introduces and examines a novel realized volatility forecasting model that makes use of Long Short-Term Memory (LSTM) neural networks and the risk metric financial turbulence (FT).
Souto Hugo Gobato, Moradi Amir
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A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China. [PDF]
PLoS One, 2020 Investor sentiment is a research focus in behavior finance. This paper chooses five proxy variables according to China’s reality and uses a two-step principal component analysis to construct an investor sentiment index.
Chen Y, Zhao H, Li Z, Lu J.
europepmc +2 more sources
A hybrid econometrics and machine learning based modeling of realized volatility of natural gas
Financial InnovationDetermining which variables affect price realized volatility has always been challenging. This paper proposes to explain how financial assets influence realized volatility by developing an optimal day-to-day forecast. The methodological proposal is based
Werner Kristjanpoller
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Can the Baidu Index predict realized volatility in the Chinese stock market?
Financial Innovation, 2021 This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.
Wei Zhang, Kai Yan, Dehua Shen
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Borsa Istanbul Review, 2020 Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR)
Sew Lai Ng +2 more
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