Forecasting oil price realized volatility using information channels from other asset classes
S Degiannakis, G Filis - Journal of International Money and Finance, 2017 - Elsevier
Motivated from Ross (1989) who maintains that asset volatilities are synonymous to the
information flow, we claim that cross-market volatility transmission effects are synonymous to …
information flow, we claim that cross-market volatility transmission effects are synonymous to …
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility
A growing literature documents important gains in asset return volatility forecasting via use
of realized variation measures constructed from high-frequency returns. We progress by …
of realized variation measures constructed from high-frequency returns. We progress by …
The volatility of realized volatility
In recent years, with the availability of high-frequency financial market data modeling
realized volatility has become a new and innovative research direction. The construction of …
realized volatility has become a new and innovative research direction. The construction of …
Parametric and nonparametric volatility measurement
Publisher Summary This chapter provides a unified continuous-time, frictionless, no-
arbitrage framework for systematically categorizing the various volatility concepts …
arbitrage framework for systematically categorizing the various volatility concepts …
Autoregressive conditional heteroscedasticity (ARCH) models: A review
S Degiannakis, E Xekalaki - Quality Technology & Quantitative …, 2004 - Taylor & Francis
Abstract Autoregressive Conditional Heteroscedasticity (ARCH) models have successfully
been employed in order to predict asset return volatility. Predicting volatility is of great …
been employed in order to predict asset return volatility. Predicting volatility is of great …
Realized volatility forecasting and market microstructure noise
We extend the analytical results for reduced form realized volatility based forecasting in ABM
(2004) to allow for market microstructure frictions in the observed high-frequency returns …
(2004) to allow for market microstructure frictions in the observed high-frequency returns …
[图书][B] Handbook of volatility models and their applications
A complete guide to the theory and practice of volatility models in financial engineering
Volatility has become a hot topic in this era of instant communications, spawning a great …
Volatility has become a hot topic in this era of instant communications, spawning a great …
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
TG Andersen, T Bollerslev, X Huang - Journal of Econometrics, 2011 - Elsevier
Building on realized variance and bipower variation measures constructed from high-
frequency financial prices, we propose a simple reduced form framework for effectively …
frequency financial prices, we propose a simple reduced form framework for effectively …
Realized volatility
TG Andersen, T Teräsvirta - Handbook of financial time series, 2009 - Springer
Realized volatility is a nonparametric ex-post estimate of the return variation. The most
obvious realized volatility measure is the sum of finely-sampled squared return realizations …
obvious realized volatility measure is the sum of finely-sampled squared return realizations …
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
T Bollerslev, U Kretschmer, C Pigorsch… - Journal of …, 2009 - Elsevier
We develop an empirically highly accurate discrete-time daily stochastic volatility model that
explicitly distinguishes between the jump and continuous-time components of price …
explicitly distinguishes between the jump and continuous-time components of price …