Realized variance
Properties of bias corrected realized variance under alternative sampling schemes
... of realized variance thereby yielding more accu- rate and reliable variance estimates, even when prices are sampled at high frequency and are subject to market microstructure ...corrected ...
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Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?
... of realized variance: mean square error (MSE), adjusted mean absolute percentage error (MAPE) or mean of the absolute ratio of forecast error to the sum of observation and forecast, ...
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Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling
... The principal finding which emerges from both our theoretical and empirical analysis, is that business time sampling is generally superior to the common practice of calendar time sampling in that it leads to a reduction ...
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Realized Variance.pdf
... the realized variance to the standard measure of the realized variance, and find that these results are gener- ally quite favorable to the bias-corrected ...
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Improving Markov switching models using realized variance
... In each case of a finite state assumption, the joint MS specifications outperform the benchmark model that do not use ex post volatility measures. The log-predictive Bayes factors between the best finite joint MS model ...
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Options on realized variance and convex orders
... It may well turn out that in markets call prices on realized variance options characteristically display an increase with respect to maturity for a …xed strike. Model calibrations may however still be done ...
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Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?
... Permanent repository link: http://openaccess.city.ac.uk/12654/ Link to published version: http://dx.doi.org/10.1016/j.ijforecast.2015.10.004 Copyright and reuse: City Research Online aim[r] ...
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Applying Variance Gamma Correlated to Estimate Optimal Portfolio of Variance Swap
... a variance swap include the variance strike, which is also called fixed leg, the realized vari- ance, ...the realized variance of the price changes of the underly- ing ...a ...
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A FORECAST COMPARISON OF VOLATILITY MODELS.pdf
... conditional variance—that can be estimated by the realized ...conditional variance in out- of-sample evaluations of volatility ...conditional variance. By substituting the realized ...
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Realized Skewness
... true variance of ...(the realized variance) is an unbiased estimator of the true ...one-month variance swap computed daily (a swap that pays the realized daily variance over a ...
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Optimal Variance Swaps Investments
... of variance swaps based on a vari- ance Gamma correlated (VGC) ...Each variance swap has two legs: a fixed leg (also called the variance strike) and a floating leg (also called the realized ...
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Modeling Gold Volatility: Realized GARCH Approach
... include realized variance as an exogenous variable in GARCH ...conditional variance prediction is ...the realized volatility and conditional variance at the same time in one ...
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Moment Methods for Exotic Volatility Derivatives
... the variance swap which upon expiry pays the difference between a standard historical estimate of daily return variance and a fixed rate determined at inception, see (Dupire 1992), (Carr and Madan 1998) and ...
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Obtaining and Predicting the Bounds of Realized Correlations
... of realized covariance and correlation that only work well under certain conditions, this paper proposes a different approach to the ...of realized covariance and correlation unreliable, especially when the ...
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Modeling tick-by-tick realized correlations
... the realized volatility of sixteen US stocks with good forecasting results, we propose a regime-dependent, tree-structured heterogeneous autoregressive (tree-HAR) model for the estimation and prediction of the ...
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REALIZED TURNS IN WOOD BUSINESS OF JAPAN
... tistical modelling most surprising in the graphs in a fi g. 7 is that the oscillatory Japan forestry perturbation amplifi cation happens only during realized turn to de- crease of production, in particular of wood ...
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REALIZED MODERNIZATION IN FORESTRY OF JAPAN AND FINLAND
... For a comparison on three processes of handling production (import, production and export) in table 6 data on world dynamics of sticks buck on saun wood are indicated.. Table 6.[r] ...
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Asymmetric Realized Volatility Risk
... 3.1.2. Extended Leverage Effects. ? and ? highlight the impact of leverage effects for the dynamics of realized volatility. The latter argues for the existence of regime switching behavior in volatility, with ...
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Bootstrapping realized multivariate volatility measures
... Contrary to our expectations based on the existing theory for the pairs bootstrap in the statistics literature, we show that the pairs bootstrap does not provide an asymptotic refinement[r] ...
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Estimating Realized Heritability in Panmictic Populations
... We will now explain how (in theory) Galton could have utilized our approach to collect the dataset. First, he would need estimates of the mean and variance of the trait in a population (we assume that records ...
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