Results 11 to 20 of about 2,349,483 (333)
"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
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility [PDF]
Journal of Futures Markets, 2021 We examine the role of implied volatility, leverage effect, overnight returns and volatility of realized volatility in forecasting realized volatility by extending the heterogeneous autoregressive (HAR) model to include these additional variables.
Dimos S. Kambouroudis +2 more
semanticscholar +4 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
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
Enhancing Prediction by Incorporating Entropy Loss in Volatility Forecasting [PDF]
EntropyIn this paper, we propose examining Heterogeneous Autoregressive (HAR) models using five different estimation techniques and four different estimation horizons to decide which performs better in terms of forecasting accuracy. Several different estimators
Renaldas Urniezius +9 more
doaj +2 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
Modelling and Forecasting Noisy Realized Volatility [PDF]
SSRN Electronic Journal, 2009 Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even
Asai, M., McAleer, M.J., Medeiros, M.
core +14 more sources
"Asymmetry and Leverage in Realized Volatility" [PDF]
SSRN Electronic Journal, 2009 A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In both the conditional and stochastic volatility literature, there has been some confusion between the definitions of asymmetry and ...
Manabu Asai +2 more
core +4 more sources
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2002 O. Barndorff-Nielsen, N. Shephard
semanticscholar +3 more sources