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Recent Methods: A Review

In: Modelling and Forecasting High Frequency Financial Data

Author

Listed:
  • Stavros Degiannakis
  • Christos Floros

Abstract

This chapter presents a review of recent methods on high frequency financial techniques for modelling realized volatility. The focus is on the jump volatility measures and jump tests, and the real(E)GARCH, HAR-RV-J and HEAVY models. Further, we give examples of the above methods on financial risk management by providing realized betas considering a multivariate GARCH model with realized measures of volatility (similar to dynamic CAPM).

Suggested Citation

  • Stavros Degiannakis & Christos Floros, 2015. "Recent Methods: A Review," Palgrave Macmillan Books, in: Modelling and Forecasting High Frequency Financial Data, chapter 6, pages 217-242, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-39649-5_6
    DOI: 10.1057/9781137396495_6
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