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Modeling returns volatility: Realized GARCH incorporating realized risk measure
Physica A: Statistical Mechanics and its Applications, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jiang, Wei +3 more
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Realized Volatility Forecasting: Applications
2015The realized volatility is constructed based on ultra-high frequency data for three stock indices and the euro to yen exchange rate. The sampling frequency is selected according to the volatility signature plot, and the realized volatility is adjusted to changes in the prices during the hours that the markets are closed.
Stavros Degiannakis, Christos Floros
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Realized Volatility Prediction
2021 2nd European Symposium on Software Engineering, 2021Sabrina Wing-Yi Chio +2 more
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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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Realizing Smiles: Pricing Options with Realized Volatility
2009We develop a stochastic volatility option pricing model that exploits the informative content of historical high frequency data. Using the Two Scales Realized Volatility as a proxy for the unobservable returns volatility, we propose a simple (affine) but effective long-memory process: the Heterogeneous Auto-Regressive Gamma (HARG) model.
Fulvio CORSI +2 more
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