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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 C Medeiros
exaly +4 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 AbstractWe forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility. We analyze 10 international stock indices finding that, although a simple HAR model augmented with IV (HAR‐IV) is more accurate than any HAR
Dimos S Kambouroudis +2 more
exaly +6 more sources
The Volatility of Realized Volatility [PDF]
Econometric Reviews, 2008 In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. The construction of “observable” or realized volatility series from intra-day transaction data and the use of standard time-series techniques has lead to promising strategies for modeling and ...
Fulvio Corsi, Stefan Mittnik
exaly +6 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 ...
Silvia Gonçalves, Nour Meddahi
exaly +5 more sources
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Realize the Realized Stock Index Volatility
Asian Economic Journal, 2004This paper constructs estimates of daily stock index volatilities and correlation using high‐frequency (one‐minute) intraday stock indices. The key feature of these ‘realized’ volatilities and correlations is that they are not only model‐free but also approximately measurement‐error‐free.
Ho‐Chuan (River) Huang +1 more
openaire +1 more source
Realized volatility and transactions
Journal of Banking & Finance, 2006Abstract This paper re-examines the impact of number of trades, trade size and order imbalance on daily stock returns volatility. In contrast to prior studies, we estimate daily volatility using realized volatility obtained by summing up intraday squared returns.
Chan, C.C., Fong, W.M.
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A Distributional Approach to Realized Volatility
2013Les auteurs proposent de nouvelles mesures de la variance intégrée qui reposent sur des données à haute fréquence concernant les écarts entre cours acheteur et vendeur et les profondeurs affichées, c.-à-d. les quantités offertes à ces deux cours.
Chaker, Selma, Meddahi, Nour
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Forecasting realized volatility: A review
Journal of the Korean Statistical Society, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Implied Volatility Forecasting Realized Volatility
2021This chapter conducts an empirical analysis of IV to forecast the RV through testing hypothesis 1–9. The analysis includes three steps. First, estimate the IV for ATM price of currency options with 1-, 2-, and 3-month maturity during opening, midday, and closing period.
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