Results 281 to 290 of about 2,349,483 (333)

Realize the Realized Stock Index Volatility

Asian Economic Journal, 2004
This 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, Chien‐Chung Nieh   +1 more
openaire   +1 more source

Overnight volatility, realized volatility, and option pricing

Journal of Futures Markets, 2022
AbstractThe equity market is not trading around the clock, and the overnight information has been proved be important for understanding pricing anomalies, improving volatility forecasting accuracy, and so forth. However, there is little research investigating its impact on option pricing.
Tianyi Wang, Sicong Cheng, Fangsheng Yin, Mei Yu   +3 more
openaire   +1 more source

Forecasting realized volatility of crude oil futures with equity market uncertainty

Applied Economics, 2019
This paper examines whether the equity market uncertainty (EMU) index contains incremental information for forecasting the realized volatility of crude oil futures.
Fenghua Wen, Yupei Zhao, Minzhi Zhang, Chunyan Hu   +3 more
semanticscholar   +1 more source

Forecasting realized volatility: A review

Journal of the Korean Statistical Society, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

Option Pricing Using Realized Volatility

SSRN Electronic Journal, 2008
In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns.
openaire   +2 more sources

Stationary bootstrapping realized volatility

Statistics & Probability Letters, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hwang, Eunju, Shin, Dong Wan
openaire   +2 more sources

Pricing VIX Options with Realized Volatility

Social Science Research Network, 2020
It is well known that realized measures of volatility, which are computed from high-frequency intraday data, provide accurate measurements of the latent volatility process.
Chen Tong, Zhuo Huang
semanticscholar   +1 more source

VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump

, 2020
In this paper, we provide several theoretically relevant and empirically significant improvements to the general affine realized volatility (GARV) model of Christoffersen et al. (2014) .
Qi Wang, Zerong Wang
semanticscholar   +1 more source

24-Hour realized volatilities and transatlantic volatility interdependence

Quantitative Finance, 2014
This 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
openaire   +1 more source

Realized volatility and transactions

Journal of Banking & Finance, 2006
Abstract 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.
openaire   +1 more source