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An introduction to realized volatility
Investment Analysts Journal, 2007(2007). An introduction to realized volatility. Investment Analysts Journal: Vol. 36, No. 65, pp. 47-57.
Pagel, I.M. +2 more
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REALIZED VOLATILITY AND CHANGES OF REGIME [PDF]
, 2011 Persistence and occasional abrupt changes in the average level characterize the dynamics of high frequency based measures of volatility. Since the beginning of the 2000s, this pattern can be attributed to the dot com bubble, the quiet period of expansion of credit between 2003 and 2006 and then the harsh times after the burst of the subprime mortgage ...
G. M. GALLO, OTRANTO, Edoardo
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The economic value of volatility timing using “realized” volatility
Journal of Financial Economics, 2001Abstract Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this “realized” volatility approach in the context of investment decisions.
Jeff Fleming +2 more
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Realized GARCH: a joint model for returns and realized measures of volatility
Journal of Applied Econometrics, 2010SUMMARYWe introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility ...
Hansen, Peter Reinhard +2 more
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Realized Volatility Prediction
2021 2nd European Symposium on Software Engineering, 2021Sabrina Wing-Yi Chio +2 more
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Detecting structural breaks in realized volatility
Computational Statistics & Data Analysis, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Junmo Song, Changryong Baek
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Volatility: Expectations and Realizations [PDF]
, 2012 Embedded in option prices are market expectations regarding future volatility. While the assumption of rational expectations has been a popular paradigm, it is difficult to ignore the subjective nature of expectations. The objective of this paper is to make market expectations visible as they evolve over time, and to price options in line with ...
Peters, R., van der Weide, R.
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24-Hour realized volatilities and transatlantic volatility interdependence
Quantitative Finance, 2014This paper proposes an innovative econometric approach for the computation of 24-hour realized volatilities across stock markets in Europe and the US. In particular, we deal with the problem of non-synchronous trading hours and intermittent high-frequency data during overnight non-trading periods. Using high-frequency data for the Euro Stoxx 50 and the
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The bias of realized volatility
2018Realized volatility underestimates the variance of daily stock index returns by an average of 14 percent. This is documented for a wide range of international stock indices, using the fact that the average of realized volatility and that of squared returns should be the same over longer time horizons.
Becker, Janis, Leschinski, Christian
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