[PDF] Top 20 Estimating Financial Volatility with High-Frequency Returns

... suggested, high-frequency financial data are recorded much more fre- quently than the ‘standard’ data ...of financial time series analysis are both low-frequency and regularly spaced, ... See full document

... of high frequency data has initiated many new research areas in ...to financial data, where high-frequency trading currently takes a significant proportion of trading ...realised ... See full document

... to financial shocks such as the deterioration of the balance sheet of the main bank providing export credit to an exporter, than firms using foreign ...between volatility and the intensity of sales ... See full document

... implied volatility from a stochastic volatility model over the implied volatility on the forecasting ...implied volatility and a realized volatility is carried out for checking the ... See full document

... Financial econometrics continues to make progress in developing more robust and efficient estimators of volatility. But for some estimators, the asymptotic variance is hard to derive or may take a ... See full document

... of volatility. Specifically, we propose and study a volatility model, named ARCH-NNH model, that is an ARCH(1) process with a nonlinear function of a persistent, integrated or nearly integrated, explanatory ... See full document

... night volatility into the day conditional volatility equation of one low-frequency as well as a number of high-frequency GARCH ...facilitates volatility estimation, and allows ... See full document

... The application of the TSRV has been tested in empirical studies using both Monte Carlo sim- ulations and financial data. Extensive research can be found in A¨ıt-Sahalia and Mancini (2006) where they compare the T ... See full document

... of estimating functions (EF) in the modelling and forecasting of financial returns ...most financial time series, into modelling, leading to a substantial gain of infor- mation and overall ... See full document

... stock returns and the result of our test for ARCH effect which justifies the use of symmetric and asymmetric GARCH-family models for our ...examining financial time series are the kurtosis and ...stock ... See full document

... Ding et al (1993) propose a generalised version of seven GARCH related processes with a link based on their parameter values, named an APARCH model. This model nests the following specifications: ARCH (Engle, 1982); ... See full document

... of volatility in Hong Kong Stock Market based on a long sample of high-frequency 5-min Heng Seng Index ...intraday volatility is not acting as completely U-shaped Pattern, what is special in ... See full document

... the volatility observed during the day and can provide improved volatility ...range-based volatility estimators can be applied to any interval, the reliability of the estimate is dependent on the ... See full document

... of financial time series such as exchange rate returns is compared with the normal distribution, fatter tails are ...rate returns irrespective of the regime when standardized by their scale exhibit ... See full document

... allows volatility to be influenced by durations under the GARCH ...higher volatility, no trade being interpreted as no ...between volatility and ...of volatility on trading intensity. They ... See full document

... spot volatility estimators based on the Realized Kernel estimator and the Pre-Averaging ...spot volatility weighted by the so-called delta sequence and have provided theoretical analysis; our estimator is a ... See full document

... spot volatility estimators based on the Realized Kernel estimator and the Pre-Averaging ...spot volatility weighted by the so-called delta sequence and have provided theoretical analysis; our estimator is a ... See full document

... daily returns do quite well in describing financial volatil- ity, but they seem incompatible with intraday high-frequency data at first ...and volatility is then the square root of the ... See full document

... and volatility estimation and inference has attracted substantial attention in the recent financial econometric literature, especially in high-frequency ...analyses. ... See full document

... of financial openness and macroeconomic stability (measured by the stability of output and ...the volatility of output growth over the period 1971-1994 in 93 ...of financial integration is associated ... See full document