Similar Search Results

Coherent model-free implied volatility : a corridor fix for high-frequency VIX

Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011

Persistent link: https://www.econbiz.de/10009385071

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we … used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We … used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is …

Persistent link: https://www.econbiz.de/10003315444

Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time

Döpke, Jörg - 2016

We compared forecasts of stock market volatility based on real-time and revised …

Persistent link: https://www.econbiz.de/10012989311

A robust neighborhood truncation approach to estimation of integrated quarticity

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2013

Persistent link: https://www.econbiz.de/10009735127

An empirical investigation of continuous-time equity return models

Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001

Persistent link: https://www.econbiz.de/10001615265

Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003

Persistent link: https://www.econbiz.de/10001846702

The distribution of stock return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000

Persistent link: https://www.econbiz.de/10001476423

Short-term market risks implied by weekly options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018

Persistent link: https://www.econbiz.de/10011797670

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003 - This version: September 2003

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

Persistent link: https://www.econbiz.de/10009764770