Results 11 to 20 of about 10,453 (290)
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. In a frictionless market, the estimate achieves consistency for the underlying quadratic return variation when returns are sampled at ...
Torben G. Andersen, Luca Benzoni
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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. The long range diagnosis of volatility, however, is usually stated for long sample periods, while for small sample sizes, such as e.g.
Chen, Y., Härdle, W.K., Pigorsch, U.
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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 leverage.
Manabu Asai +2 more
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Are There Structural Breaks in Realized Volatility? [PDF]
Journal of Financial Econometrics, 2008 Constructed from high-frequency data, realized volatility (RV) provides an accurate estimate of the unobserved volatility of financial markets. This paper uses a Bayesian approach to investigate the evidence for structural breaks in reduced form time-series models of RV. We focus on the popular heterogeneous autoregressive (HAR) models of the logarithm
Chun Liu, John M. Maheu
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Realized Volatility Risk [PDF]
Realized Volatility Riskapplication/pdf ...
David E. Allen +2 more
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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 realized volatility are substantive.
Allen, David E. +2 more
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Realizing Smiles: Options Pricing with Realized Volatility [PDF]
SSRN Electronic Journal, 2011 We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data.
CORSI, Fulvio +2 more
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Large deviations of realized volatility [PDF]
Stochastic Processes and their Applications, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kanaya, Shin, Otsu, Taisuke
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Measuring Volatility with the Realized Range [PDF]
SSRN Electronic Journal, 2005 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martens, M.P.E., van Dijk, D.J.C.
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Borsa Istanbul Review, 2021 This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets.
Walid Mensi +3 more
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