Search Results - subject:"Realized" - EconBiz

Deciphering asymmetric spillovers in US industries : insights from higher-order moments

Muhammad Shafiullah; Senthilkumar, Arunachalam; Lucey, … - In: Research in international business and finance 70 (2024) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10015053386

Realized variances vs. correlations: Unlocking the gains in multivariate volatility forecasting

Capera Romero, Laura; Opschoor, Anne - 2024

This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate … volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding … realized (co)variances, we predict the conditional covariance matrix on a daily, weekly, biweekly, and monthly frequency, both …

Persistent link: https://www.econbiz.de/10015070286

Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting

Capera Romero, Laura; Opschoor, Anne - 2024

This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate … volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding … realized (co)variances, we predict the conditional covariance matrix on a daily, weekly, biweekly, and monthly frequency, both …

Persistent link: https://www.econbiz.de/10015064180

Financial stress and realized volatility : the case of agricultural commodities

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Research in international business and finance 71 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015061759

Dynamic tail risk forecasting : what do realized skewness and kurtosis add?

Gallo, Giampiero M.; Okhrin, Ostap; Storti, Giuseppe - 2024 - Prima edizione

Persistent link: https://www.econbiz.de/10015099208

Evaluation of volatility spillovers for asymmetric realized covariance

Maki, Daiki - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014581009

Realized higher moments and trading activity

Yuan, Shu-Fang - In: Review of quantitative finance and accounting 62 (2024) 3, pp. 971-1005

Persistent link: https://www.econbiz.de/10014503204

Financial stress and realized volatility : the case of agricultural commodities

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - 2023

Persistent link: https://www.econbiz.de/10014317311

Augmenting the Realized-GARCH : the role of signed-jumps, attenuation-biases and long-memory effects

Papantonis, Ioannis; Rompolis, Leonidas S.; Tzavalis, Elias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 171-198

Persistent link: https://www.econbiz.de/10014288888

Does the realized distribution-based measure dominate particular moments? : evidence from cryptocurrency markets

Yang, Jen-Wei; Chiu, Shih-Yung; Yen, Kuang-Chieh - In: Finance research letters 51 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014287045

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