Realized Volatility and Asymmetries in the A.S.E. Returns

We model exchange rate returns, the different components of realized volatility and the central bank intervention using a system of simultaneous equations.. We find strong

This paper develops a framework to analyze the business cycle movements of stock market returns, volatility and volatility risk-premia. In our model, the aggregate stock market

While it is in general true that option portfolios of stocks with low realized volatility/high implied volatility (similar to decile one in Table 3) exhibit lower average returns

The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of di¤erent measures

In addition, the usage of various realized volatility in this analysis can provides better accuracy in the market risk and portfolio hedging determination for single or

Our results show that a simple autoregressive model for realized volatility together with the assumption that the expected future returns follow a normal distribution leads to

Treasury bond market (CTBM) in detail, including the best sampling frequency selected to compute the realized volatility, the conditional and unconditional distribution of the

Due to faster declining in the market volatility relative to the aggregate idiosyncratic volatil- ity, one needs to hold 20 stocks in a portfolio in order to diversify away 90% of