Results 81 to 90 of about 6,227 (165)

Realized volatility forecast of financial futures using time-varying HAR latent factor models

, 2022
Jiawen Luo, Zhenbiao Chen, Shengquan Wang   +2 more
openalex   +1 more source

An Extensive Analysis of FTSE 100 Realized Volatility with Different Information Channels

Burak Korkusuz
openalex   +2 more sources

Do Jumps Matter in Realized Volatility Modeling and Forecasting? Empirical Evidence and a New Model

, 2020
Massimiliano Caporin
openalex   +1 more source

The Factor Structure of Realized Volatility and its Asset Pricing Implicaitons

, 2007
Zhi Da, Ernst Schaumburg
openalex   +1 more source

Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility [PDF]

, 2011
Jean‐Marie Dufour, René García, Abderrahim Taamouti   +2 more
openalex   +1 more source

GARCH-Based “Value” for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts

, 2022
J. Benson Durham
openalex   +1 more source

The dynamic impact of investor climate sentiment on the crude oil futures market: Evidence from the Chinese market. [PDF]

PLoS One
Liu W, Tang M, Zhao P.
europepmc   +1 more source

The effect of intraday periodicity on realized volatility measures

, 2016
Holger Dette, Vasyl Golosnoy, Janosch Kellermann   +2 more
openalex   +1 more source

Cause-and-effect relationships in a nonlinear model of Bitcoin's energy use and price volatility effect. [PDF]

PLoS One
Zournatzidou G.
europepmc   +1 more source

Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression

, 2015
Jozef Baruník, Michaela Barunikova
openalex   +1 more source