Results 21 to 30 of about 2,349,483 (333)
Modeling Realized Variance with Realized Quarticity
Stats, 2022 This paper proposes a model for realized variance that exploits information in realized quarticity. The realized variance and quarticity measures are both highly persistent and highly correlated with each other.
Hiroyuki Kawakatsu
doaj +1 more source
Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities [PDF]
ACRN Journal of Finance and Risk Perspectives, 2021 In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index.
Alexander Brunhuemer +2 more
doaj +1 more source
Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
doaj +1 more source
Climate risks and state-level stock market realized volatility
Journal of financial markets, 2023 We analyze the predictive value of climate risks for state-level realized stock-market volatility, computed, along with other realized moments, based on high-frequency intra-day U.S. data (September, 2011 to October, 2021).
M. Bonato +3 more
semanticscholar +1 more source
Economies, 2021 In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and
Hassan Zada +2 more
doaj +1 more source
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting [PDF]
Social Science Research Network, 2022 Despite the impressive success of deep neural networks in many application areas, neural network models have so far not been widely adopted in the context of volatility forecasting.
Rafael Reisenhofer +2 more
semanticscholar +1 more source
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
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 ...
Goncalves, Silvia, Meddahi, Nour
core +6 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
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