Search Results - subject:"overnight volatility"

Option pricing with overnight and intraday volatility

Liang, Fang; Du, Lingshan; Huang, Zhuo - In: The journal of futures markets 43 (2023) 11, pp. 1576-1614

Persistent link: https://www.econbiz.de/10014432919

Volatility forecasting using intraday information with the CARR models for the China stock markets

Wu, Chun-Chou; Xu, Wen - In: Asia-Pacific journal of accounting & economics : … 30 (2023) 4, pp. 912-929

Persistent link: https://www.econbiz.de/10014319629

Observation-driven Models for Realized Variances and Overnight Returns

Opschoor, Anne; Lucas, André - 2019

We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact of incidental large observations. Applying our...

Persistent link: https://www.econbiz.de/10012114805

Overnight volatility, realized volatility, and option pricing

Wang, Tianyi; Cheng, Sicong; Yin, Fangsheng; Yu, Mei - In: The journal of futures markets 42 (2022) 7, pp. 1264-1283

Persistent link: https://www.econbiz.de/10013287956

Forecasting risk measures using intraday and overnight information

Santos, Douglas Gomes dos; Candido, Osvaldo; Tófoli, … - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013449240

Risk-return trade-off in the Australian Securities Exchange : accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: International review of economics & finance : IREF 80 (2022), pp. 384-401

Persistent link: https://www.econbiz.de/10013342033

Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting

Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633

Persistent link: https://www.econbiz.de/10012792858

Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?

Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645

Persistent link: https://www.econbiz.de/10012415313

Volatility forecasting using related markets' information for the Tokyo stock exchange

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 90 (2020), pp. 143-158

Persistent link: https://www.econbiz.de/10012428085

Observation-driven models for realized variances and overnight returns

Opschoor, Anne; Lucas, André - 2019 - This version: July 23, 2019

Persistent link: https://www.econbiz.de/10012056853