Realized volatility and jumps in the Athens Stock Exchange
AbstractWe test for and model the volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intra-day data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the ASE market and, in particular, this is the first time, to the best of our knowledge, that volatility jumps are examined and modelled for the Greek market, using a variety of realized volatility estimators. Finally, we compare the economic value of these volatility estimators and examine their differences in the context of a two-asset portfolio and volatility timing.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 22 (2012)
Issue (Month): 2 (January)
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Web page: http://www.tandfonline.com/RAFE20
Other versions of this item:
- Dimitrios Vortelinos & Dimitrios Thomakos, 2009. "Realized Volatility and Jumps in the Athens Stock Exchange," Working Papers 00044, University of Peloponnese, Department of Economics.
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