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Nonparametric realized volatility estimation in the international equity markets
Vortelinos, Dimitrios I.; Thomakos, Dimitrios D. - In: International Review of Financial Analysis 28 (2013) C, pp. 34-45
Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...
Persistent link: https://www.econbiz.de/10010666207
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Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Pooter, Michiel de; Martens, Martin; Dijk, Dick van - In: Econometric Reviews 27 (2008) 1-3, pp. 199-229
portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the … optimal sampling frequency as judged by the performance of these portfolios. The optimal sampling frequency ranges between 30 … striking a balance between the variance and bias in covariance matrix estimates due to market microstructure effects such as …
Persistent link: https://www.econbiz.de/10005511901
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The influence of intraday seasonality on volatility transmission pattern
Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
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Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.; Yu, Jun - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
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Realized volatility, price informativeness, and tick size : a market microstructure approach
Xiao, Xijuan; Yamamoto, Ryuichi - In: International review of economics & finance : IREF 89 (2024) 1, pp. 410-426
Persistent link: https://www.econbiz.de/10014446466
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Efficient estimation of drift parameters in stochastic volatility models
Gloter, Arnaud - In: Finance and Stochastics 11 (2007) 4, pp. 495-519
Persistent link: https://www.econbiz.de/10005390660
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The CAPM, national stock market betas, and macroeconomic covariates : a global analysis
Curran, Michael; Velic, Adnan - In: Open economies review 31 (2020) 4, pp. 787-820
Persistent link: https://www.econbiz.de/10012302138
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Economic benefits of using realized covariance forecasts in risk-based portfolios
Sharma, Prateek; Vipul - In: Applied economics 48 (2016) 4/6, pp. 502-516
Persistent link: https://www.econbiz.de/10011412934
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257
Persistent link: https://www.econbiz.de/10012110378