(2008) The volatility of realized volatility. Econ Rev 27: pp. 46-78Corsi F, Mittnik S, Pigorsch C, Pigorsch U (2008) The volatility of realized volatility. Econom Rev 27:46–78 MathSciNet MATHCorsi F, Mittnik S, Pigorsch U. The volatility of realized volatility[J]. ...
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process The study provides evidence in favor of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day dat... S Degiannakis,A Livada...
of the GARCH-type innovations. The inconclusive results drawn from the literature, coupled with the relatively few published works on this topic (only two papers addressing the electricity markets), render more in-depth analysis on the topic of modeling the volatility of realized volatility in ...
The volatility of realized volatility Econom. Rev., 27 (1-3) (2008), pp. 46-78 CrossrefView in ScopusGoogle Scholar Diaz and de Gracia, 2017 E.M. Diaz, F.P. de Gracia Oil price shocks and stock returns of oil and gas corporations Finance Res. Lett., 20 (2017), pp. 75-80 Vie...
Forecasting the realized volatility of stock price index A hybrid model integrating CEEMDAN and LSTM 预测股票价格指数的实际波动率 CEEMDAN 和 LSTM 的混合模型 波动率:波动率是金融资产价格的波动程度,是对资产收益率不确定性的衡量,用于反映金融资产的风险水平。波动率越高,金融资产价格的波动越剧烈,资产收益率...
[translate] aLog likelihood 日志可能 [translate] aThe realized volatility can underestimate the latent daily volatility by simply summing up the squared intra-day returns when the market is open. 體會的揮發性可能通過簡單總結被擺正的內部天回歸低估潛在每日揮發性,當市場是開放的時。 [translate] ...
Sometimes called the "investor fear gauge", the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX. Changes in the VIX are observed to be negatively correlated with changes in the SPX. However, no ...
RealVol LLC trades realized-volatility contracts - futures-like instruments that capture the realized volatility of some underlying asset, index, security, or instrument.
volatility is the main component for the intraday realized volatility,its mean structural change has exactly the same feature with that of the realized volatility.The weekly effects of continuous volatility and weekly scale effects of returns have significant influence to continuous volatility.The weekly...
To enrich the understanding of China’s stock market, we examine the information content of realized volatility of sector indices in China’s stock market. The study of financial market volatility is one of the core issues in the field of financial engineering such as portfolio, risk management ...