Using high-frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry-Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non-Gaussian, whereas the distributions of the standardized ...
Using high-frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry-Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non-Gaussian, whereas the distributions of the standardized ...
2.The paper extendsrealized volatilitybased on high-frequency data to realized covariance matrix based on multivariate highfrequency data,to describe volatility and correlation of multivariate.把基于一维高频数据的“已实现”波动率扩展到多维高频数据情形,给出“已实现”协方差阵,并给出了协方差阵的极限性质,...
The periodic analysis of realized volatility in china stock market; 中国股市“已实现”波动率的周期性研究 2. The paper extends realized volatility based on high-frequency data to realized covariance matrix based on multivariate highfrequency data,to describe volatility and correlation of multivariate. ...
CorrelationBetaVolatility SpilloverRealized MeasuresThis papers adopts the recently proposed realized Beta GARCH model of Hansen et al. (J. Appl. Econ. (2014)) to examine the changes in price and return dynamics that affected the commodity market during the 2007-2008 boom and bust. We provide ...
Based on EEMD, Gong (2013) studied the volatility and cyclical characteristics of stock prices of emerging industries in China. Shen and Long (2016) used the Markov switching regime ARCH model (SWARCH model) to study the volatilities and correlations of sectors in China’s stock market and ...
A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the (unobserved) instantaneous volatility process ... S Kanaya,D Kristensen - 《Econometric Theory》 被引量: 50发表: 2010年 Realized Volatility and Long Memory: An Overview The challenge of...
Using high-frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry-Hub natural gas futures contracts are exam... TAO WANG,JINGTAO WU,JIAN YANG - 《Journal of Futures Markets》 被引量: 143发表: 2008年 On the realized volatility of the ECX CO2 ...
RealVol LLC trades realized-volatility contracts - futures-like instruments that capture the realized volatility of some underlying asset, index, security, or instrument.
The Economic Value of Using Realized Volatility in Forecasting Future Implied Volatility We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the S&P 500 index ... WH Chan,R Jha,M Kalimipalli - 《Ssrn Electronic ...