Real-Time Monitoring Test for Realized Volatility
Author
Abstract
Suggested Citation
DOI: 10.1515/jtse-2012-0014
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Choi, Kyongwook & Yu, Wei-Choun & Zivot, Eric, 2010.
"Long memory versus structural breaks in modeling and forecasting realized volatility,"
Journal of International Money and Finance, Elsevier, vol. 29(5), pages 857-875, September.
- Kyongwook Choi & Wei-Choun Yu & Eric Zivot, 2008. "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," Working Papers UWEC-2008-20-FC, University of Washington, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003.
"Modeling and Forecasting Realized Volatility,"
Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
- Ke Yang & Langnan Chen, 2014. "Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect," International Review of Finance, International Review of Finance Ltd., vol. 14(3), pages 345-392, September.
- Li, Wenlan & Cheng, Yuxiang & Fang, Qiang, 2020. "Forecast on silver futures linked with structural breaks and day-of-the-week effect," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018.
"Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 1-25, March.
- Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Post-Print hal-01982032, HAL.
- Kumar, Dilip, 2017. "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 149-167.
- Ke Yang & Langnan Chen & Fengping Tian, 2015. "Realized Volatility Forecast of Stock Index Under Structural Breaks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(1), pages 57-82, January.
- Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013.
"Forecasting a long memory process subject to structural breaks,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
- WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2012. "Forecasting long memory processes subject to structural breaks," LIDAM Discussion Papers CORE 2012048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- WANG, Cindy Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," LIDAM Reprints CORE 2574, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
- Jung, R.C. & Maderitsch, R., 2014. "Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 331-342.
- repec:wyi:journl:002213 is not listed on IDEAS
- Tian, Fengping & Yang, Ke & Chen, Langnan, 2017. "Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity," International Journal of Forecasting, Elsevier, vol. 33(1), pages 132-152.
- Sergii Pypko, 2015. "Volatility Forecast in Crises and Expansions," JRFM, MDPI, vol. 8(3), pages 1-26, August.
- Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Grassi, Stefano & Santucci de Magistris, Paolo, 2015.
"It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model,"
Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics 1404, School of Economics, University of Kent.
- Chen, Shengming & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas," Resources Policy, Elsevier, vol. 85(PA).
- repec:wyi:journl:002191 is not listed on IDEAS
- Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009.
"Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
- Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
- Seiler, Volker, 2024.
"The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
- Volker Seiler, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," Post-Print hal-04549980, HAL.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
- Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
- Chuong Luong & Nikolai Dokuchaev, 2016. "Modeling Dependency Of Volatility On Sampling Frequency Via Delay Equations," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-21, June.
- Turan G. Bali & Robert F. Engle & Yi Tang, 2017.
"Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns,"
Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
- Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:jtsmet:v:5:y:2013:i:1:p:1-24:n:2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.