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Forecasting exchange rate volatility in the presence of jumps
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2005
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10010290348
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2008
, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …
Persistent link: https://www.econbiz.de/10010290353
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The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10010290416
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The information content of treasury bond options concerning future volatility and price jumps
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2006
options appear to be calibrated to incorporate information about future jumps in Treasury bond prices, and hence interest …
Persistent link: https://www.econbiz.de/10010290465
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - Economics Department, Queen's University - 2008
, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …
Persistent link: https://www.econbiz.de/10004979472
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - School of Economics and Management, University of Aarhus - 2007
, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …
Persistent link: https://www.econbiz.de/10005004428
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The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - Economics Department, Queen's University - 2006
options appear to be calibrated to incorporate information about future jumps in Treasury bond prices, and hence interest …
Persistent link: https://www.econbiz.de/10005653084
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Forecasting Exchange Rate Volatility in the Presence of Jumps
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - Economics Department, Queen's University - 2005
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10005653154
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The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10005688501