Results 11 to 20 of about 111,281 (343)
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
doaj +7 more sources
"Realized Volatility Risk" [PDF]
SSRN Electronic Journal, 2009 In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
core +16 more sources
The volatility of realized volatility [PDF]
Econometric Reviews, 2005 Using unobservable conditional variance as measure, latent-variable approaches, such as GARCH and stochastic-volatility models, have traditionally been dominating the empirical finance literature.
Corsi, Fulvio +3 more
core +9 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
doaj +2 more sources
SSRN Electronic Journal, 2008 Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled squared return realizations over a fixed time interval.
Luca Benzoni, Torben G. Andersen
core +3 more sources
Multivariate Realized Stock Market Volatility [PDF]
SSRN Electronic Journal, 2006 Les auteurs présentent un nouveau modèle de la matrice des covariances réalisées des rendements boursiers dans lequel la matrice est exprimée sous forme logarithmique et les facteurs latents sont fonction à la fois de la volatilité passée et des rendements historiques.
Gregory H. Bauer, Keith Vorkink
openalex +3 more sources
Asymmetric Realized Volatility Risk [PDF]
Journal of Risk and Financial Management, 2014 In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive.
David E. Allen +2 more
openalex +12 more sources
Bootstrapping Realized Volatility. [PDF]
Econometrica, 2009 We propose bootstrap methods for a general class of nonlinear transformations of realized volatility which includes the raw version of realized volatility and its logarithmic transformation as special cases. We consider the independent and identically distributed (i.i.d.) bootstrap and the wild bootstrap (WB), and prove their first-order asymptotic ...
Goncalves, Silvia, Meddahi, Nour
core +6 more sources
Localized Realized Volatility Modelling [PDF]
SSRN Electronic Journal, 2009 With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility.
Uta Pigorsch +2 more
core +6 more sources
Realized volatility: a review [PDF]
Econometric Reviews, 2008 This paper reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results.
Marcelo Cunha Medeiros, Michael McAleer
core +3 more sources