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The Volatility of Realized Volatility

Citations

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Cited by:

  1. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
  2. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
  3. Chao Liang & Yin Liao & Feng Ma & Bo Zhu, 2022. "United States Oil Fund volatility prediction: the roles of leverage effect and jumps," Empirical Economics, Springer, vol. 62(5), pages 2239-2262, May.
  4. Fengler, Matthias & Okhrin, Ostap, 2012. "Realized Copula," Economics Working Paper Series 1214, University of St. Gallen, School of Economics and Political Science.
  5. Wohlfarth, Paul, 2018. "Measuring the impact of monetary policy attention on global asset volatility using search data," Economics Letters, Elsevier, vol. 173(C), pages 15-18.
  6. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
  7. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
  8. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Post-Print halshs-02505861, HAL.
  9. Filip Žikeš & Jozef Baruník, 2016. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 185-226.
  10. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008. "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers 2008-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo, 2021. "Realized volatility forecasting: Robustness to measurement errors," International Journal of Forecasting, Elsevier, vol. 37(1), pages 44-57.
  12. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
  13. Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017. "A vector heterogeneous autoregressive index model for realized volatility measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
  14. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
  15. B. Zhang & J. Wang & W. Zhang & G. C. Wang, 2020. "Nonlinear Scaling Behavior of Visible Volatility Duration for Financial Statistical Physics Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 373-389, August.
  16. Chevallier, Julien & Sévi, Benoît, 2012. "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, vol. 34(6), pages 1896-1909.
  17. Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
  18. Catania, Leopoldo & Proietti, Tommaso, 2020. "Forecasting volatility with time-varying leverage and volatility of volatility effects," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
  19. Lazar, Emese & Xue, Xiaohan, 2020. "Forecasting risk measures using intraday data in a generalized autoregressive score framework," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1057-1072.
  20. Massimiliano Caporin & Gabriel G. Velo, 2011. "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers 0128, Dipartimento di Scienze Economiche "Marco Fanno".
  21. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
  22. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo.
  23. Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
  24. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
  25. Grobys, Klaus, 2024. "A universal exponent governing foreign exchange rate risks," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  26. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
  27. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008. "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 729-750, September.
  28. Matteo Luciani & David Veredas, "undated". "A simple model for vast panels of volatilities," ULB Institutional Repository 2013/136239, ULB -- Universite Libre de Bruxelles.
  29. Wen Cheong Chin & Min Cherng Lee, 2018. "S&P500 volatility analysis using high-frequency multipower variation volatility proxies," Empirical Economics, Springer, vol. 54(3), pages 1297-1318, May.
  30. Gustavo Fruet Dias & Karsten Schweiker, 2024. "Integrated Variance Estimation for Assets Traded in Multiple Venues," University of East Anglia School of Economics Working Paper Series 2024-04, School of Economics, University of East Anglia, Norwich, UK..
  31. David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
  32. Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011. "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January.
  33. Štefan Lyócsa & Peter Molnár, 2016. "Volatility forecasting of strategically linked commodity ETFs: gold-silver," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1809-1822, December.
  34. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
  35. Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
  36. Ding, Yashuang (Dexter), 2023. "A simple joint model for returns, volatility and volatility of volatility," Journal of Econometrics, Elsevier, vol. 232(2), pages 521-543.
  37. Weber, Enzo, 2013. "Simultaneous stochastic volatility transmission across American equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 53-60.
  38. Tian, Fengping & Yang, Ke & Chen, Langnan, 2017. "Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity," International Journal of Forecasting, Elsevier, vol. 33(1), pages 132-152.
  39. Aitor Ciarreta & Peru Muniain & Ainhoa Zarraga, 2020. "Realized volatility and jump testing in the Japanese electricity spot market," Empirical Economics, Springer, vol. 58(3), pages 1143-1166, March.
  40. Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013. "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers 21/13, Monash University, Department of Econometrics and Business Statistics.
  41. Large, Jeremy, 2011. "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, vol. 160(1), pages 2-11, January.
  42. Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 174-196, Spring.
  43. Ma, Feng & Liu, Jing & Huang, Dengshi & Chen, Wang, 2017. "Forecasting the oil futures price volatility: A new approach," Economic Modelling, Elsevier, vol. 64(C), pages 560-566.
  44. Fulvio Corsi & Francesco Audrino, 2012. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 591-616, September.
  45. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
  46. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
  47. Yanhui Chen & Kin Lai & Jiangze Du, 2014. "Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 113-132, December.
  48. repec:hum:wpaper:sfb649dp2009-003 is not listed on IDEAS
  49. Hwang, Eunju & Shin, Dong Wan, 2014. "Infinite-order, long-memory heterogeneous autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 339-358.
  50. D. Delpini & G. Bormetti, 2015. "Stochastic volatility with heterogeneous time scales," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1597-1608, October.
  51. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Bank of Finland Research Discussion Papers 19/2010, Bank of Finland.
  52. Harvey, Andrew & Palumbo, Dario, 2023. "Score-driven models for realized volatility," Journal of Econometrics, Elsevier, vol. 237(2).
  53. Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  54. Luo, Jiawen & Ji, Qiang, 2018. "High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets," Energy Economics, Elsevier, vol. 76(C), pages 424-438.
  55. Zhouwei Wang & Qicheng Zhao & Min Zhu & Tao Pang, 2020. "Jump Aggregation, Volatility Prediction, and Nonlinear Estimation of Banks’ Sustainability Risk," Sustainability, MDPI, vol. 12(21), pages 1-17, October.
  56. Stefano Grassi & Nima Nonejad & Paolo Santucci De Magistris, 2017. "Forecasting With the Standardized Self‐Perturbed Kalman Filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 318-341, March.
  57. Audrino, Francesco & Corsi, Fulvio, 2010. "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
  58. Gaurav Raizada & Vartika Srivastava & S. V. D. Nageswara Rao, 2020. "Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 1-28, March.
  59. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, September.
  60. Hassan, Aminu & Ibrahim, Masud Usman & Bala, Ahmed Jinjiri, 2024. "Vulnerability of a developing stock market to openness: One-way return and volatility transmissions," International Review of Financial Analysis, Elsevier, vol. 93(C).
  61. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
  62. J. Eduardo Vera‐Valdés, 2020. "On long memory origins and forecast horizons," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 811-826, August.
  63. Zhang, Wei & Wang, Jun, 2017. "Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 29-41.
  64. Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  65. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
  66. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan & Vo, Xuan Vinh, 2023. "Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?," Journal of Financial Stability, Elsevier, vol. 65(C).
  67. Lyócsa, Štefan & Todorova, Neda & Výrost, Tomáš, 2021. "Predicting risk in energy markets: Low-frequency data still matter," Applied Energy, Elsevier, vol. 282(PA).
  68. Warshaw, Evan, 2020. "Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 1-14.
  69. Dimos Kambouroudis & David McMillan & Katerina Tsakou, 2019. "Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility," Working Papers 2019-03, Swansea University, School of Management.
  70. Payzan-LeNestour, Elise & Pradier, Lionnel & Putniņš, Tālis J., 2023. "Biased risk perceptions: Evidence from the laboratory and financial markets," Journal of Banking & Finance, Elsevier, vol. 154(C).
  71. Eric Hillebrand & Marcelo C. Medeiros, 2016. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 23-41, January.
  72. Th'eophile Griveau-Billion & Ben Calderhead, 2019. "A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour," Papers 1904.08153, arXiv.org, revised Jan 2020.
  73. Seul-Ki Park & Ji-Eun Choi & Dong Wan Shin, 2017. "Value at risk forecasting for volatility index," Applied Economics Letters, Taylor & Francis Journals, vol. 24(21), pages 1613-1620, December.
  74. Chen, Ying & Härdle, Wolfgang Karl & Pigorsch, Uta, 2010. "Localized Realized Volatility Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1376-1393.
  75. Clements, Adam & Preve, Daniel P.A., 2021. "A Practical Guide to harnessing the HAR volatility model," Journal of Banking & Finance, Elsevier, vol. 133(C).
  76. Zhimin Wu & Guanghui Cai, 2024. "Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1956-1974, September.
  77. Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
  78. Degiannakis, Stavros, 2017. "The one-trading-day-ahead forecast errors of intra-day realized volatility," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1298-1314.
  79. Liang, Chao & Ma, Feng & Li, Ziyang & Li, Yan, 2020. "Which types of commodity price information are more useful for predicting US stock market volatility?," Economic Modelling, Elsevier, vol. 93(C), pages 642-650.
  80. Onno Kleen, 2024. "Scaling and measurement error sensitivity of scoring rules for distribution forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 833-849, August.
  81. Eunju Hwang, 2021. "Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations," Mathematics, MDPI, vol. 9(8), pages 1-10, April.
  82. Qu, Hui & Duan, Qingling & Niu, Mengyi, 2018. "Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets," Energy Economics, Elsevier, vol. 74(C), pages 767-776.
  83. Zhu, Xuehong & Zhang, Hongwei & Zhong, Meirui, 2017. "Volatility forecasting using high frequency data: The role of after-hours information and leverage effects," Resources Policy, Elsevier, vol. 54(C), pages 58-70.
  84. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, vol. 3(1), pages 1-53, January.
  85. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
  86. Dimos S. Kambouroudis & David G. McMillan & Katerina Tsakou, 2021. "Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1618-1639, October.
  87. Grassi, Stefano & Santucci de Magistris, Paolo, 2015. "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
  88. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.
  89. Todorova, Neda & Worthington, Andrew & Souček, Michael, 2014. "Realized volatility spillovers in the non-ferrous metal futures market," Resources Policy, Elsevier, vol. 39(C), pages 21-31.
  90. Yusaku Nishimura & Xuyi Dong & Bianxia Sun, 2021. "Trump's tweets: Sentiment, stock market volatility, and jumps," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 497-512, September.
  91. Piotr Fiszeder & Grzegorz Perczak, 2013. "A new look at variance estimation based on low, high and closing prices taking into account the drift," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 456-481, November.
  92. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
  93. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014. "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE 2014014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  94. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2021. "The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  95. AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016. "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE 2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  96. Markopoulou, Chrysi E. & Skintzi, Vasiliki D. & Refenes, Apostolos-Paul N., 2016. "Realized hedge ratio: Predictability and hedging performance," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 121-133.
  97. Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
  98. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  99. Yao Axel Ehouman, 2020. "Volatility transmission between oil prices and banks’ stock prices as a new source of instability: Lessons from the United States experience," Post-Print hal-02960571, HAL.
  100. Chen, Wang & Lu, Xinjie & Wang, Jiqian, 2022. "Modeling and managing stock market volatility using MRS-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 625-635.
  101. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2020. "Yield curves from different bond data sets," Review of Derivatives Research, Springer, vol. 23(2), pages 191-226, July.
  102. Nikita Medvedev & Zhiguang Wang, 2022. "Multistep forecast of the implied volatility surface using deep learning," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 645-667, April.
  103. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
  104. Halbleib Roxana & Voev Valeri, 2011. "Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 134-152, February.
  105. Chao Liang & Yongan Xu & Zhonglu Chen & Xiafei Li, 2023. "Forecasting China's stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3689-3699, October.
  106. Chai, Edwina F.L. & Lee, Adrian D. & Wang, Jianxin, 2015. "Global information distribution in the gold OTC markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 206-217.
  107. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  108. Cipollini, Fabrizio & Gallo, Giampiero M., 2025. "Multiplicative Error Models: 20 years on," Econometrics and Statistics, Elsevier, vol. 33(C), pages 209-229.
  109. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01442618, HAL.
  110. Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW Kiel).
  111. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
  112. Dimitrios I. Vortelinos & Dimitrios D. Thomakos, 2012. "Realized volatility and jumps in the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 97-112, January.
  113. Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
  114. Sergii Pypko, 2015. "Volatility Forecast in Crises and Expansions," JRFM, MDPI, vol. 8(3), pages 1-26, August.
  115. Manh Cuong Dong & Cathy W. S. Chen & Manabu Asai, 2023. "Bayesian non‐linear quantile effects on modelling realized kernels," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 981-995, January.
  116. repec:hum:wpaper:sfb649dp2012-034 is not listed on IDEAS
  117. Moawia Alghalith & Christos Floros & Konstantinos Gkillas, 2020. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility," Risks, MDPI, vol. 8(2), pages 1-15, April.
  118. Leopoldo Catania & Mads Sandholdt, 2019. "Bitcoin at High Frequency," JRFM, MDPI, vol. 12(1), pages 1-20, February.
  119. Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Janeway Institute Working Papers 2111, Faculty of Economics, University of Cambridge.
  120. Aboura, Sofiane & Wagner, Niklas, 2016. "Extreme asymmetric volatility: Stress and aggregate asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 47-59.
  121. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014. "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers 0186, Dipartimento di Scienze Economiche "Marco Fanno".
  122. Tian Xie, 2019. "Forecast Bitcoin Volatility with Least Squares Model Averaging," Econometrics, MDPI, vol. 7(3), pages 1-20, September.
  123. Ding, Y., 2021. "Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility," Cambridge Working Papers in Economics 2112, Faculty of Economics, University of Cambridge.
  124. Ana-Maria Fuertes & Jose Olmo, 2016. "On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?," JRFM, MDPI, vol. 9(3), pages 1-20, September.
  125. Julien Chevallier & Benoît Sévi, 2011. "On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting," Annals of Finance, Springer, vol. 7(1), pages 1-29, February.
  126. Cui, Jing & Zhao, Hua, 2015. "Intraday jumps in China's Treasury bond market and macro news announcements," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 211-223.
  127. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers hal-04140871, HAL.
  128. repec:dau:papers:123456789/4598 is not listed on IDEAS
  129. Chin Wen CHEONG & Lee Min CHERNG & Grace Lee Ching YAP, 2016. "Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 50-64, December.
  130. Tseng-Chan Tseng & Hung-Cheng Lai & Cha-Fei Lin, 2012. "The impact of overnight returns on realized volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 22(5), pages 357-364, March.
  131. M. Karanasos & S. Yfanti & A. Christopoulos, 2021. "The long memory HEAVY process: modeling and forecasting financial volatility," Annals of Operations Research, Springer, vol. 306(1), pages 111-130, November.
  132. Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020. "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202016, University of Kansas, Department of Economics, revised Sep 2020.
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