Search Results - subject:"Realized beta"

Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices

Varneskov, Rasmus Tangsgaard - School of Economics and Management, University of Aarhus - 2011

This paper extends the class of generalized at-top realized kernels, introduced in Varneskov (2011), to the multivariate case, where quadratic covariation of non-synchronously observed asset prices is estimated in the presence of market microstructure noise that is allowed to exhibit serial...

Persistent link: https://www.econbiz.de/10009320847

Essays on measuring, modeling and forecasting time-varying risk in financial markets

Xie, Xuan, Banking & Finance, Australian School of … - 2010

presence of model instability, forecasting stock return realized volatility at the quarterly frequency, quarterly realized beta … quarterly beta time series.The final topic is to investigate the economic value of realized beta. Market neutral funds are …

Persistent link: https://www.econbiz.de/10009484191

Bootstrapping realized multivariate volatility measures

Dovonon, Prosper; Goncalves, Silvia; Meddahi, Nour - Volkswirtschaftliche Fakultät, … - 2010

We study bootstrap methods for statistics that are a function of multivariate high frequency returns such as realized regression coefficients and realized covariances and correlations. For these measures of covariation, the Monte Carlo simulation results of Barndorff-Nielsen and Shephard (2004)...

Persistent link: https://www.econbiz.de/10011111322

Bootstrapping realized multivariate volatility measures

Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of Econometrics 172 (2013) 1, pp. 49-65

We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory....

Persistent link: https://www.econbiz.de/10011052229

A framework for exploring the macroeconomic determinants of systematic risk

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 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 functions of realized volatility, namely realized...

Persistent link: https://www.econbiz.de/10010298297

A framework for exploring the macroeconomic determinants of systematic risk

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10010958769

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2005

volatility, realized beta, conditional CAPM, business cycle A Framework for Exploring the Macroeconomic Determinants of … move to realized beta and characterize its dynamics relative to those of its variance and covariance components. In part …), have important implications for risk management and asset allocation. II. Realized Beta and its Components Although …

Persistent link: https://www.econbiz.de/10005022431

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2005

Persistent link: https://www.econbiz.de/10005150219