Results 31 to 40 of about 111,281 (343)
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
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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
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Borsa Istanbul Review, 2021 This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets.
Walid Mensi +3 more
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Realizing Smiles: Options Pricing with Realized Volatility [PDF]
SSRN Electronic Journal, 2011 We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data.
CORSI, Fulvio +2 more
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Large deviations of realized volatility [PDF]
Stochastic Processes and their Applications, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kanaya, Shin, Otsu, Taisuke
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Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility [PDF]
Journal of Futures Markets, 2021 AbstractWe forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility. We analyze 10 international stock indices finding that, although a simple HAR model augmented with IV (HAR‐IV) is more accurate than any HAR
Dimos S. Kambouroudis +2 more
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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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