Results 11 to 20 of about 692,757 (295)
Realized Volatility Risk [PDF]
Realized Volatility Riskapplication/pdf 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
core +8 more sources
Realized Volatility: A Review [PDF]
Econometric Reviews, 2008 This article 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. A continuous time specification provides the theoretical foundation for the main results in this
Michael McAleer, Marcelo Cunha Medeiros
openaire +2 more sources
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter
Econometrics, 2023 Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive.
Manabu Asai
doaj +1 more source
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.
openaire +5 more sources
Development of high-frequency volatility estimators in pricing and trading stock options
π-Economy, 2022 Asset return volatility plays a key role in derivative pricing and hedging, risk management and portfolio allocation decisions. This study examined the economic benefit of high-frequency volatility estimators (measures realized) in option pricing and ...
Gayomey John, Zaytsev Andrey
doaj +1 more source
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
openaire +1 more source
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
openaire +3 more sources
Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices
Stats, 2023 In this paper, we conducted an empirical investigation of the realized volatility of cryptocurrencies using an econometric approach. This work’s two main characteristics are: (i) the realized volatility to be forecast filters jumps, and (ii) the benefit ...
Julien Chevallier, Bilel Sanhaji
doaj +1 more source
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
doaj +1 more source
Measuring Volatility with the Realized Range [PDF]
Journal of Econometrics, 2005 Recently it has become popular to measure daily variance using the summation of squared intraday returns, called realized variance. Realized variance renders a much more efficient estimator of daily volatility than the daily squared return. Parkinson (1980) showed that this also holds for the range between high and low prices observed during a day ...
Martin P.E. Martens, Dick J.C. van Dijk
openaire +1 more source