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The Extreme Value Method for Estimating the Variance of the Rate of Return

Citations

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Cited by:

  1. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
  2. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
  3. Brown, Gregory W. & Hartzell, Jay C., 2001. "Market reaction to public information: The atypical case of the Boston Celtics," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 333-370, May.
  4. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
  5. Panagiotis Schizas & Dimitrios D. Thomakos, 2015. "Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 285-298, February.
  6. Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.
  7. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  8. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
  9. Parthajit Kayal & S. Maheswaran, 2017. "Is USD-INR Really an Excessively Volatile Currency Pair?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(2), pages 329-342, June.
  10. Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
  11. Becchetti, L. & Ferrari, M. & Trenta, U., 2014. "The impact of the French Tobin tax," Journal of Financial Stability, Elsevier, vol. 15(C), pages 127-148.
  12. Andrey Kudryavtsev, 2012. "Short-Term Stock Price Reversals May Be Reversed," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 5(3), pages 129-146, December.
  13. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
  14. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
  15. Mendiola, Alfredo, 2010. "Adr Effects On Domestic Latin Maerica Financial Market," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 15(28), pages 45-64.
  16. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  17. Narayan, Paresh Kumar & Mishra, Sagarika & Sharma, Susan & Liu, Ruipeng, 2013. "Determinants of stock price bubbles," Economic Modelling, Elsevier, vol. 35(C), pages 661-667.
  18. Suraj Kumar & Krishna Prasanna, 2019. "Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 339-362, December.
  19. Muneer Shaik & S. Maheswaran, 2019. "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 57-91, March.
  20. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
  21. Díaz-Mendoza, Ana-Carmen & Pardo, Angel, 2020. "Holidays, weekends and range-based volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  22. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
  23. Neil Shephard & Ole E. Barndorff-Nielsen, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
  24. Meng, Xiaochun & Taylor, James W., 2018. "An approximate long-memory range-based approach for value at risk estimation," International Journal of Forecasting, Elsevier, vol. 34(3), pages 377-388.
  25. Mazza, Paolo & Petitjean, Mikael, 2016. "On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios," Economic Modelling, Elsevier, vol. 54(C), pages 67-81.
  26. Lakshmi Padmakumari & S. Maheswaran, 2018. "Covariance estimation using random permutations," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-21, March.
  27. Panpan Wang & Tsungwu Ho & Yishi Li, 2020. "The Price-Volume Relationship of the Shanghai Stock Index: Structural Change and the Threshold Effect of Volatility," Sustainability, MDPI, Open Access Journal, vol. 12(8), pages 1-17, April.
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  29. Aharon, David Y. & Qadan, Mahmoud, 2020. "When do retail investors pay attention to their trading platforms?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  30. Yin-Wong Cheung, 2007. "An empirical model of daily highs and lows," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 1-20.
  31. Caginalp, Gunduz & DeSantis, Mark, 2017. "Does price efficiency increase with trading volume? Evidence of nonlinearity and power laws in ETFs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 436-452.
  32. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
  33. (Jeremy) Chiu, Ching-wai & Harris, Richard D.F. & Stoja, Evarist & Chin, Michael, 2018. "Financial market Volatility, macroeconomic fundamentals and investor Sentiment," Journal of Banking & Finance, Elsevier, vol. 92(C), pages 130-145.
  34. Koutmos, Dimitrios, 2018. "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 122-127.
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  36. Chan, Yue-Cheong, 2014. "How does retail sentiment affect IPO returns? Evidence from the internet bubble period," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 235-248.
  37. Wolfgang Karl Härdle & Rainer Schulz & Weining Wang, 2010. "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers SFB649DP2010-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  38. Li, Hongquan & Hong, Yongmiao, 2011. "Financial volatility forecasting with range-based autoregressive volatility model," Finance Research Letters, Elsevier, vol. 8(2), pages 69-76, June.
  39. Ji-Chai Lin & Michael S. Rozeff, 1994. "Variance, Return, And High-Low Price Spreads," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 301-319, September.
  40. Jui-Cheng Hung & Tien-Wei Lou & Yi-Hsien Wang & Jun-De Lee, 2013. "Evaluating and improving GARCH-based volatility forecasts with range-based estimators," Applied Economics, Taylor & Francis Journals, vol. 45(28), pages 4041-4049, October.
  41. An-Sing Chen, 1997. "Volatility of exchange rate futures and high-low price spreads," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(1), pages 33-42, March.
  42. Yong H. Kim & J. Jimmy Yang, 2009. "Effect of Price Limits: Initial Public Offerings versus Seasoned Equities," International Review of Finance, International Review of Finance Ltd., vol. 9(3), pages 295-318, September.
  43. Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012. "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 78-91.
  44. Charlotte Christiansen, 2010. "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 105-122.
  45. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.
  46. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
  47. James W. Taylor, 2005. "Generating Volatility Forecasts from Value at Risk Estimates," Management Science, INFORMS, vol. 51(5), pages 712-725, May.
  48. Fernando Palao & Ángel Pardo Tornero, 2012. "When size matters: Clustering in the European Carbon Market," Working Papers. Serie EC 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  49. LAURENT, Sébastien & VIOLANTE, Francesco, 2012. "Volatility forecasts evaluation and comparison," CORE Discussion Papers RP 2414, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  50. Cimini, Riccardo, 2015. "Eurozone network “Connectedness” after fiscal year 2008," Finance Research Letters, Elsevier, vol. 14(C), pages 160-166.
  51. 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.
  52. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
  53. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2019. "Range-based DCC models for covariance and value-at-risk forecasting," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 58-76.
  54. Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
  55. Laurent Deville & Carole Gresse & Béatrice de Séverac, 2014. "Direct and Indirect Effects of Index ETFs on Spot†Futures Pricing and Liquidity: Evidence from the CAC 40 Index," European Financial Management, European Financial Management Association, vol. 20(2), pages 352-373, March.
  56. Grobys, Klaus, 2015. "Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy," Economics Letters, Elsevier, vol. 127(C), pages 72-75.
  57. Ripple, Ronald D. & Moosa, Imad A., 2009. "The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility," Global Finance Journal, Elsevier, vol. 20(3), pages 209-219.
  58. Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, vol. 28(3), pages 557-574.
  59. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018. "New bid-ask spread estimators from daily high and low prices," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
  60. Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes, 2013. "The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 561-576, September.
  61. Wei Lin & Gloria González‐Rivera, 2019. "Extreme returns and intensity of trading," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1121-1140, November.
  62. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España;Working Papers Homepage.
  63. Kumar, Dilip, 2015. "Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis," Economic Modelling, Elsevier, vol. 49(C), pages 354-371.
  64. Yuming Fu & Wenlan Qian & Bernard Yeung, 2013. "Speculative Investors and Tobin's Tax in the Housing Market," NBER Working Papers 19400, National Bureau of Economic Research, Inc.
  65. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
  66. Wang, Junbo & Wu, Chunchi, 2015. "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 183-203.
  67. Edoardo Otranto & Romana Gargano, 2015. "Financial clustering in presence of dominant markets," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(3), pages 315-339, September.
  68. Wu, Yu & Zhang, Tong, 2019. "Effects of change in commission fees on China futures market," Finance Research Letters, Elsevier, vol. 31(C), pages 54-65.
  69. Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  70. Fiszeder, Piotr & Perczak, Grzegorz, 2016. "Low and high prices can improve volatility forecasts during periods of turmoil," International Journal of Forecasting, Elsevier, vol. 32(2), pages 398-410.
  71. Dilip Kumar, 2016. "Sudden changes in crude oil price volatility: an application of extreme value volatility estimator," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 215-234.
  72. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
  73. Dimitris Politis & Dimitrios Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers 0005, University of Peloponnese, Department of Economics.
  74. Galli, Fausto, 2014. "Stochastic conditonal range, a latent variable model for financial volatility," MPRA Paper 54030, University Library of Munich, Germany.
  75. Auer, Benjamin R., 2016. "How does Germany's green energy policy affect electricity market volatility? An application of conditional autoregressive range models," Energy Policy, Elsevier, vol. 98(C), pages 621-628.
  76. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, September.
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  79. Hvozdyk, Lyudmyla & Rustanov, Serik, 2016. "The effect of financial transaction tax on market liquidity and volatility: An Italian perspective," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 62-78.
  80. Cappelletti, Giuseppe & Guazzarotti, Giovanni & Tommasino, Pietro, 2017. "The stock market effects of a securities transaction tax: Quasi-experimental evidence from Italy," Journal of Financial Stability, Elsevier, vol. 31(C), pages 81-92.
  81. Cao, Charles & Chang, Eric C. & Wang, Ying, 2008. "An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2111-2123, October.
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  85. Zdravetz Lazarov, 2005. "Assesing the Economic Significance of the Intra-daily Volatility Seasonalities," School of Economics and Finance Discussion Papers and Working Papers Series 203, School of Economics and Finance, Queensland University of Technology.
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  87. Gábor Petneházi & József Gáll, 2019. "Exploring the predictability of range‐based volatility estimators using recurrent neural networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 26(3), pages 109-116, July.
  88. Gao, Yang & Li, Yunhai & Wang, Yaojun & Wang, Chao & Liu, Chao, 2019. "Asymptotic comparison of three spread estimators based on Roll’s model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 420-432.
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  93. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
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