Results 41 to 50 of about 2,349,483 (333)
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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Does volatility mediate the impact of analyst recommendations on herding in Malaysian stock market?
Economics and Business Review, 2021 This study examines the mediating role of volatility on the relationship between analyst recommendations and herding in the Malaysian stock market by using data from 2010 to 2020. Volatility is measured by realized volatility and the Parkinson estimator.
Loang Ooi Kok, Ahmad Zamri
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Journal of Forecasting, 2021 We use an international dataset on 5-minutes interval intraday data covering nine leading markets and regions to construct measures of realized volatility, realized jumps, realized skewness, and realized kurtosis of returns of international Real Estate ...
M. Bonato +3 more
semanticscholar +1 more source
Multivariate Realized Stock Market Volatility [PDF]
SSRN Electronic Journal, 2006 Les auteurs présentent un nouveau modèle de la matrice des covariances réalisées des rendements boursiers dans lequel la matrice est exprimée sous forme logarithmique et les facteurs latents sont fonction à la fois de la volatilité passée et des rendements historiques.
Bauer, Gregory H., Vorking, Keith
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Risks, 2023 Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility.
Rhenan G. S. Queiroz, Sergio A. David
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Journal of Behavorial Finance, 2021 Using a machine-learning technique known as random forests, we analyze the role of investor confidence in forecasting monthly aggregate realized stock-market volatility of the United States (US), over and above a wide-array of macroeconomic and financial
Rangan Gupta +2 more
semanticscholar +1 more source
"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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A framework for exploring the macroeconomic determinants of systematic risk [PDF]
, 2005 We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting ...
Andersen, Torben G. +3 more
core +2 more sources
Bootstrapping Realized Multivariate Volatility Measures [PDF]
SSRN Electronic Journal, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Donovon, Prosper +2 more
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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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