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Realized volatility and jumps in the Athens Stock Exchange

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  • Dimitrios I. Vortelinos
  • Dimitrios D. Thomakos

Abstract

We 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.

Suggested Citation

  • Dimitrios I. Vortelinos & Dimitrios D. Thomakos, 2012. "Realized volatility and jumps in the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 97-112, January.
  • Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:97-112 DOI: 10.1080/09603107.2011.605751
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    Cited by:

    1. Prateek Sharma & Swati Sharma, 2015. "Forecasting gains of robust realized variance estimators: evidence from European stock markets," Economics Bulletin, AccessEcon, vol. 35(1), pages 61-69.
    2. repec:ebl:ecbull:eb-14-00886 is not listed on IDEAS
    3. Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.

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