Realized Skewness, Asymmetric Volatility, and Volatility Feedback 2
Asymmetric Realized Volatility Risk
... in realized volatility model- ing may not be translated so neatly into improvements in modeling the conditional distribution of ...between realized volatility and returns should be studied ...
30
Asymmetric Realized Volatility Risk
... given volatility are normally distributed and assume that return and volatility shocks are uncorrelated then we have learned that on this particular day the “ex post 1% value at risk” was ...high ...
33
Asymmetric Realized Volatility Risk
... in realized volatility model- ing may not be translated so neatly into improvements in modeling the conditional distribution of ...between realized volatility and returns should be studied ...
34
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
... of asymmetric e¤ect is ...high volatility in the beginning of the day, leaving a total of 72 …ve-minute returns in each trading ...The realized daily volatility is constructed from the …ltered ...
30
Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness
... time-varying volatility to study the question of whether covariation in returns results from underlying priced risk or a statistical ...study skewness using a much larger universe of firms as well as both ...
28
Forecasting (downside and upside) realized exchange-rate volatility: Is there a role for realized skewness and kurtosis?
... the realized skewness and the realized kur- tosis of the daily returns distribution for realized-volatility ...of realized volatility, realized kurtosis, and ...
Realized volatility
... the volatility signature plot, which depicts the sample average of the RV estimator over a long time span as a function of the sampling ...as asymmetric adjustment of the spread induces positive serial cor- ...
29
Non Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness
... the feedback effect surface corre- sponding to impact parameters for given volatility ...high volatility variance induces positive proba- bility for the event that realization of conditional ...
41
Realized Volatility Risk
... of volatility risk (and occasionally extremely high forecasting errors in realized ...by realized volatility measures are approximately gaussian ...the volatility feedback ...by ...
39
"Realized Volatility Risk"
... returns, realized volatility and volatility ...the volatility of realized volatility, Corsi et ...modeling realized volatility by specifying a GARCH process to ...
39
Realized volatility risk
... in realized volatility model- ing may not be translated so neatly into improvements in modeling the conditional distribution of ...between realized volatility and returns should be studied ...
32
Realized Volatility Risk
... in realized volatility model- ing may not be translated so neatly into improvements in modeling the conditional distribution of ...between realized volatility and returns should be studied ...
34
A Threshold Stochastic Volatility Model with Realized Volatility
... latent volatility under an ideal market ...the realized volatility in the estimation of the SV models, such as Takahashi, Omori and Watanabe (2009), Xu and Li (2010) and ...exhibit asymmetric ...
29
Asymmetry and Leverage in Realized Volatility
... general asymmetric volatility ...univariate volatility models that have recently been developed and estimated in order to understand the differences and similarities in the definitions of asymmetry ...
32
Asymmetry and leverage in realized volatility
... general asymmetric volatility ...univariate volatility models that have recently been developed and estimated in order to understand the differences and similarities in the definitions of asymmetry ...
28
Skewness, idiosyncratic volatility and expected returns
... cross-sectional skewness is a systematic factor, in the Arbitrage Pricing Theory (Ross, 1976) sense, is supported by the success of its factor- mimicking portfolio in explaining the cross-section of ...
75
A Stochastic Volatility Model with Conditional Skewness
... stochastic volatility model with time-varying conditional skewness ...conditional volatility and conditional skewness in a coherent ...be asymmetric conditional on current factors and ...
38
Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models
... predicting realized volatility making several ...index volatility providing evidence from the S&P500, DJIA and NASDAQ100 ...the asymmetric relationship between stock index returns and ...
37
Realized Skewness
... of realized variance are very ...monthly realized volatility of the S&P500 computed using daily returns has averaged just over 18% (annualized) over the last ten years ...of realized ...
64
THE ECONOMIC VALUE OF TRADING WITH REALIZED VOLATILITY
... Figure 2. This implies that realized volatility has a long memory that is captured by a fractionally integrated process ...the asymmetric volatility effects are present in the ...The ...
28