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The dual effect of idiosyncratic volatility on stock pricing and return
China Accounting and Finance Review, 2022 This study aims to examine what underlies the estimated relation between idiosyncratic volatility and realized return. Idiosyncratic volatility has a dual effect on stock pricing: it not only affects investors' expected return but also affects the ...
Zhuo (June) Cheng, Jing (Bob) Fang
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Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations [PDF]
Journal of Business & Economic Statistics, 2019 Although stochastic volatility and GARCH (generalized autoregressive conditional heteroscedasticity) models have successfully described the volatility dynamics of univariate asset returns, extending them to the multivariate models with dynamic correlations has been difficult due to several major problems.
Yamauchi, Yuta, Omori, Yasuhiro
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Journal of Econometrics, 2011 The study of high-frequency financial data has been one of the most rapidly evolving areas of research over the last decade. We have seen an explosive growth in the availability of such data, which has gone hand in hand with the development of theory for how to analyze the data.
Meddahi, N, Mykland, P, Shephard, N
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Realized Volatility and Overnight Returns [PDF]
SSRN Electronic Journal, 2010 No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where trading does not take place 24 hours a day. This paper explores several common volatility applications, investigating how the chosen treatment of overnight returns affects the results.
Ahoniemi, Katja, Lanne, Markku
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Asymmetric Realized Volatility Risk [PDF]
Journal of Risk and Financial Management, 2014 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 Allen +2 more
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Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis [PDF]
Journal of Forecasting, 2021 AbstractWe use an international dataset on 5‐min interval intraday data covering nine leading markets and regions to construct measures of realized volatility, realized jumps, realized skewness, and realized kurtosis of returns of international Real Estate Investment Trusts (REITs) over the daily period of September 2008 to August 2020. We study out‐of‐
Matteo Bonato +3 more
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Does volatility mediate the impact of analyst recommendations on herding in Malaysian stock market?
Economics and Business Review, 2021 This study examines the mediating role of volatility on the relationship between analyst recommendations and herding in the Malaysian stock market by using data from 2010 to 2020. Volatility is measured by realized volatility and the Parkinson estimator.
Loang Ooi Kok, Ahmad Zamri
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Borsa Istanbul Review, 2020 Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR)
Sew Lai Ng +2 more
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Risks, 2023 Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility.
Rhenan G. S. Queiroz, Sergio A. David
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Modelling and Forecasting Noisy Realized Volatility [PDF]
SSRN Electronic Journal, 2009 Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility.
Manabu Asai +2 more
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