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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10003727640
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Realized volatility and transactions
Chan, Choon Chat; Fong, Wai-mun - In: Journal of banking & finance 30 (2006) 7, pp. 2063-2085
Persistent link: https://www.econbiz.de/10003339522
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Bayesian learning in financial markets : price adjustments, fundamentals, and risk
Müller, Christoph - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003866148
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Assessing market microstructure effects via realized volatility measures with an application to the Dow Jones Industrial Average stocks
Awartani, Basel; Corradi, Valentina; Distaso, Walter - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 251-265
Persistent link: https://www.econbiz.de/10003885789
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Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2008
Persistent link: https://www.econbiz.de/10003675595
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Multipower variation under market microstructure effects
Ysusi, Carla (contributor) - 2007
Persistent link: https://www.econbiz.de/10003564354
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On the robustness of range-based volatility estimators
Akay, Ozgur; Griffiths, Mark D.; Winters, Drew B. - In: The journal of financial research 33 (2010) 2, pp. 179-199
Persistent link: https://www.econbiz.de/10003987994
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Liquidity biases and the pricing of cross-sectional idiosyncratic volatility
Han, Yufeng; Lesmond, David - In: The review of financial studies 24 (2011) 5, pp. 1590-1629
Persistent link: https://www.econbiz.de/10009011373
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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Macroeconomic news announcements and price discovery : evidence from Canadian-U.S. cross-listed firms
Frijns, Bart; Indriawan, Ivan; Tourani Rad, Alireza - In: Journal of empirical finance 32 (2015), pp. 35-48
Persistent link: https://www.econbiz.de/10011556775