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1
The new approaches in econometric research of financial markets. Distributed
volatility
Tinyakova, V. I.
- In:
Review of Applied Socio-Economic Research
4
(
2012
)
2
,
pp. 247-255
asset
volatility
, particularly in
estimation
of the intrinsic value of stock options. …
Volatility
is one of the most important characteristics of any financial instrument return. The idea which states that …
volatility
of financial assets and it corresponds well with the efficient market hypothesis. Therefore, all
volatility
models use …
Persistent link: https://www.econbiz.de/10010599754
Saved in:
2
Range-based
Volatility
Estimation
and Forecasting
Bencik, Daniel
-
Institut ekonomických studií, Univerzita Karlova v Praze
-
2014
prices. We empirically assess efficiency gains in
volatility
estimation
when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient
volatility
measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH
volatility-of-volatility
component. …
Persistent link: https://www.econbiz.de/10011099986
Saved in:
3
Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger
;
Olesen, Kasper V.
-
School of Economics and Management, University of Aarhus
-
2014
analyze empirical results for a selection of existing realized measures of
volatility
and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of
volatility
. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of
volatility
. We show that improved model fit …
Persistent link: https://www.econbiz.de/10010945126
Saved in:
4
Asymptotic Inference about Predictive Accuracy Using High Frequency Data
Li, Jia
;
Patton, Andrew J.
-
Duke University, Department of Economics
-
2013
volatility
, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous …
Persistent link: https://www.econbiz.de/10010834073
Saved in:
5
Non-Linear
Volatility
Modeling of Economic and Financial Time Series Using High Frequency Data
Matei, Marius
- In:
Journal for Economic Forecasting
(
2011
)
2
,
pp. 116-141
The current work undertakes an overview of the forecasting
volatility
with high frequency data topic, attempting to … answer to the fundamental latency problem of return
volatility
. It surveys the most relevant aspects of the
volatility
topic …, suggesting advantages and disadvantages of each alternative in modeling. It reviews the concept of realized
volatility
and …
Persistent link: https://www.econbiz.de/10009151358
Saved in:
6
The Impact of Jumps and Leverage in Forecasting Co-
Volatility
Asai, Manabu
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2015
__Abstract__ The paper investigates the impact of jumps in forecasting co-
volatility
, accommodating leverage effects … positive definite. Using this approach we can disentangle the estimates of the integrated co-
volatility
matrix and jump … indicate that the co-jumps of two assets have a significant impact on future co-
volatility
, but that the impact is negligible …
Persistent link: https://www.econbiz.de/10011274348
Saved in:
7
Risk Modelling and Management: An Overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
Tinbergen Instituut
-
2013
,
volatility
spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10011256696
Saved in:
8
Multi-jumps
Caporin, Massimiliano
;
Kolokolov, Aleksey
;
Renò, Roberto
-
Volkswirtschaftliche Fakultät, …
-
2014
increases of the variance risk-premium, and possess a statistically significant forecasting power for future
volatility
and …
Persistent link: https://www.econbiz.de/10011114447
Saved in:
9
Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
Aye, Goodness C.
;
Deale, Frederick W.
;
Gupta, Rangan
-
Department of Economics, Faculty of Economic and …
-
2014
This article evaluates the predictability of the equity risk premium in the United States by comparing the individual and complementary predictive power of macroeconomic variables which are popular in academia and technical indicators which are widely used by practitioners in the market using a...
Persistent link: https://www.econbiz.de/10010775490
Saved in:
10
Risk Modelling and Management: An Overview
Chang, Chia-Lin
;
Allen, David Edmund
;
McAleer, Michael
; …
-
Facultad de Ciencias Económicas y Empresariales, …
-
2013
,
volatility
spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10010778723
Saved in:
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