Long Seasonal Cycle Modeling: the Case of Realized Volatility [PDF]
Statistika: Statistics and Economy Journal, 2018 Time series with long seasonal periods are very common. Several methods have been proposed for modeling of long seasonal cycles, the most commonly used ones being those based on basis expansion. In this paper, we present and discuss these methods.
Jiří Procházka +3 more
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The predictive power of Bitcoin prices for the realized volatility of US stock sector returns. [PDF]
Financ Innov, 2023 Bouri E, Salisu AA, Gupta R.
europepmc +1 more source
Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Abstract and Applied Analysis, 2013 Basing on the Heterogeneous Autoregressive with Continuous volatility and Jumps model (HAR-CJ), converting the realized Volatility (RV) into the adjusted realized volatility (ARV), and making use of the influence of momentum effect on the volatility, a ...
Chuangxia Huang +3 more
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Forecasting Realized Volatility: Does Anything Beat Linear Models?
, 2023 Rafael R. Branco +2 more
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Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data [PDF]
Managing Global Transitions, 2013 This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange and five from theWarsaw Stock Exchange. Taking into account high frequency data for these companies,
Piotr Gurgul, Robert Syrek
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Bespoke Realized Volatility: Tailored Measures of Risk for Volatility Prediction
, 2022 Andrew J. Patton, Haozhe Zhang
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Is it worth tracking dollar/real implied volatility?
Economia Aplicada, 2001 In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to February 2001.
Sandro Canesso de Andrade +1 more
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Predict stock price fluctuations using Realized Volatility, CEEMDAN, LSTM models [PDF]
SHS Web of ConferencesIn today’s rapidly evolving financial markets, the fluctuation of stock prices has a significant impact on the decision-making of investors. To better understand and predict these price movements, this paper proposes an integrated approach aimed at ...
Zhou Mingrui
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Forecasting High-Dimensional Realized Volatility Matrices Using A Factor Model [PDF]
, 2015 Keren Shen, Jianfeng Yao, Wai Keung Li
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Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
Econometric Research in Finance, 2018 In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered.
Giovanni De Luca +2 more
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