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Estimating Daily Volatility in Financial Markets Utilizing Intraday Data

Citations

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Cited by:

  1. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
  2. Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
  3. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
  4. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  5. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  6. Bertrand Maillet & Jean-Philippe Médecin & Thierry Michel, 2009. "High Watermarks of Market Risks," Post-Print halshs-00425585, HAL.
  7. J. Coulon & Y. Malevergne, 2011. "Heterogeneous expectations and long-range correlation of the volatility of asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1329-1356, November.
  8. repec:hal:journl:peer-00732538 is not listed on IDEAS
  9. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 525-554.
  10. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2007. "Scale invariant distribution and multifractality of volatility multipliers in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 381(C), pages 343-350.
  11. Ozcan Ceylan, 2015. "Limited information-processing capacity and asymmetric stock correlations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
  12. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
  13. Yang, Ann Shawing, 2016. "Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions," Emerging Markets Review, Elsevier, vol. 28(C), pages 140-154.
  14. Zhou, Wei-Xing, 2012. "Finite-size effect and the components of multifractality in financial volatility," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
  15. Thomas Dimpfl & Stephan Jank, 2016. "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, vol. 22(2), pages 171-192, March.
  16. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive 03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.
  17. Thomas Dimpfl & Robert Jung, 2011. "Financial market spillovers around the globe," Global Financial Markets Working Paper Series 20-2011, Friedrich-Schiller-University Jena.
  18. Ren, Fei & Gu, Gao-Feng & Zhou, Wei-Xing, 2009. "Scaling and memory in the return intervals of realized volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4787-4796.
  19. Aktas, Osman Ulas & Kryzanowski, Lawrence & Zhang, Jie, 2021. "Volatility spillover around price limits in an emerging market," Finance Research Letters, Elsevier, vol. 39(C).
  20. Bjursell, Johan & Frino, Alex & Tse, Yiuman & Wang, George H.K., 2010. "Volatility and trading activity following changes in the size of futures contracts," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 967-980, December.
  21. Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza, 2006. "Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 4(1), pages 55-77.
  22. MArcelo Carvalho & MArco Aurelio Freire & Marcelo Cunha Medeiros & Leonardo Souza, 2006. "Modeling and forecasting the volatility of Brazilian asset returns," Textos para discussão 530, Department of Economics PUC-Rio (Brazil).
  23. Vortelinos, Dimitrios I., 2014. "Optimally sampled realized range-based volatility estimators," Research in International Business and Finance, Elsevier, vol. 30(C), pages 34-50.
  24. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
  25. Zhi-Qiang Jiang & Askery Canabarro & Boris Podobnik & H. Eugene Stanley & Wei-Xing Zhou, 2016. "Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1713-1724, November.
  26. Chao Zhang & Yihuang Zhang & Mihai Cucuringu & Zhongmin Qian, 2022. "Volatility forecasting with machine learning and intraday commonality," Papers 2202.08962, arXiv.org, revised Feb 2023.
  27. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
  28. Molnár, Peter, 2012. "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 20-29.
  29. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
  30. Marine Carrasco & Rachidi Kotchoni, 2015. "Adaptive Realized Kernels," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 757-797.
  31. Damien Lynch & Nikolaos Panigirtzoglou, 2004. "Option Implied and Realised Measures of Variance," Money Macro and Finance (MMF) Research Group Conference 2004 94, Money Macro and Finance Research Group.
  32. Christensen, Kim & Podolski, Mark, 2005. "Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale," Technical Reports 2005,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  33. Mu, Guo-Hua & Zhou, Wei-Xing, 2008. "Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5211-5218.
  34. Jim Griffin & Jia Liu & John M. Maheu, 2021. "Bayesian Nonparametric Estimation of Ex Post Variance [Out of Sample Forecasts of Quadratic Variation]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 823-859.
  35. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
  36. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
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