Results 51 to 60 of about 2,349,483 (333)
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
doaj +1 more source
Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
Econometrics and Statistics, 2021 A comprehensive comparison of the volatility predictive abilities of different classes of time-varying volatility models is considered. The models include the exponential GARCH (EGARCH) and stochastic volatility (SV) models using daily returns, the ...
Makoto Takahashi +2 more
semanticscholar +1 more source
Cholesky realized stochastic volatility model [PDF]
Econometrics and Statistics, 2017 Abstract Multivariate stochastic volatility models with leverage are expected to play important roles in financial applications such as asset allocation and risk management. However, these models suffer from two major difficulties: (1) there are too many parameters to estimate by using only daily asset returns and (2) estimated covariance matrices ...
Shinichiro Shirota +3 more
openaire +1 more source
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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Measuring Volatility with the Realized Range [PDF]
SSRN Electronic Journal, 2005 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martens, M.P.E., van Dijk, D.J.C.
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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
doaj +1 more source
Modeling and forecasting exchange rate volatility in time-frequency domain [PDF]
, 2015 This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of ...
Barunik, Jozef +2 more
core +1 more source
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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Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH [PDF]
مدلسازی اقتصادسنجی, 2018 Estimation of conditional variance has lots of application reflecting economic, especially financial economics, social economics and political economics’ risk and volatility research.
Esmaiel Abounoori, Mohammad Amin Zabol
doaj +1 more source