Results 31 to 40 of about 10,453 (290)
Realized Volatility in Seoul Foreign Exchange Market
East Asian Economic Review, 2003 This paper constructs model-free estimates of daily KRW/USD's volatility, termed realized volatility, using two minutes frequency and compares the volatility with two major currencies of JPY/USD and EURO/USD.
Chae-Shick Chung +2 more
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"Investor attention fluctuation and stock market volatility: Evidence from China".
PLoS ONE, 2023 This paper examines the linkage between Chinese stock market volatility and investor attention fluctuation. In Heterogeneous autoregressive (HAR) model, first, we analyzed the linkage between both decomposed and undecomposed stock market realized ...
Taiji Yang, Siqi Zhuo, Yongsheng Yang
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Infectious Diseases, Market Uncertainty and Oil Market Volatility
Energies, 2020 We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility.
Elie Bouri +3 more
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Equity Risk: Measuring Return Volatility Using Historical High-Frequency Data
Studies in Business and Economics, 2019 Market Volatility has been investigated at great lengths, but the measure of historical volatility, referred to as the relative volatility, is inconsistent.
Alan Chow, Kyre Lahtinen
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Dynamics of Connectedness in Clean Energy Stocks
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities ...
Fernanda Fuentes, Rodrigo Herrera
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Modelling and Forecasting Noisy Realized Volatility [PDF]
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. Even
Asai, M., Medeiros, M., McAleer, M.J.
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Forecasting realized volatility through financial turbulence and neural networks
Economics and Business Review, 2023 This paper introduces and examines a novel realized volatility forecasting model that makes use of Long Short-Term Memory (LSTM) neural networks and the risk metric financial turbulence (FT).
Souto Hugo Gobato, Moradi Amir
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The role of oil futures intraday information on predicting US stock market volatility
Journal of Management Science and Engineering, 2021 This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover,
Yusui Tang +3 more
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RisksIf intraday price data are unavailable, then using daily returns to construct realized measures of the variances of lower-frequency returns is a natural substitute for using high-frequency returns in this context.
Chris Kirby
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FORECASTING THE REALIZED VOLATILITY OF ISLAMIC EQUITIES USING MULTIVARIATE HAR-TYPE MODELS
The International Journal of Banking and FinanceThis study proposes nine multivariate intraday models using various realized variation measures with the aim to improve volatility forecasting in the Islamic stock market in Malaysia using a dataset from 1st April 2008 to 31st March 2018.
Sew Lai Ng +3 more
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