Results 31 to 40 of about 2,349,483 (333)
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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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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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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Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
Journal of Econometrics, 2021 This paper proposes to model and forecast realized volatility (RV) using the fractional Ornstein–Uhlenbeck (fO–U) process with a general Hurst parameter, H . A two-stage method is introduced for estimating parameters in the fO–U process based on discrete-
Xiaohu Wang, Weilin Xiao, Jun Yu
semanticscholar +1 more source
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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Climate risks and forecastability of the realized volatility of gold and other metal prices
Resources policy, 2022 We use variants of the Heterogeneous Autoregressive Realized Volatility (HAR-RV) model to examine the out-of-sample predictive value of climate-risk factors for the realized volatility of gold price returns as well as the realized volatility of for other
Rangan Gupta, Christian Pierdzioch
semanticscholar +1 more source
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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El Niño and forecastability of oil-price realized volatility
Theoretical and Applied Climatology, 2021 We forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates the role of the El Niño Southern Oscillation (ENSO), as captured by the Equatorial Southern Oscillation Index (
Elie Bouri +3 more
semanticscholar +1 more source