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Increasing the information content of realized volatility forecasts
1 个回复 - 475 次查看【作者(必填)】Razvan Pascalau, Ryan Poirier 【文题(必填)】Increasing the information content of realized volatility forecasts 【年份(必填)】2021 【全文链接或数据库名称(选填)】https://academi ...2022-11-4 22:29 - hnhs100 - 求助成功区

The Role of Jumps in Realized Volatility Modeling and Forecasting
1 个回复 - 450 次查看【作者(必填)】Massimiliano Caporin 【文题(必填)】The Role of Jumps in Realized Volatility Modeling and Forecasting 【年份(必填)】2022 【全文链接或数据库名称(选填)】https://academic.oup.com/jf ...2022-10-30 16:03 - hnhs100 - 求助成功区

e Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
2 个回复 - 960 次查看【作者(必填)】 [*]Siem Jan Koopman 【文题(必填)】e Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://jfec ...2013-8-3 22:23 - hnhs100 - 求助成功区

From Martingales to ANOVA : implied and realized volatility
7 个回复 - 1127 次查看【作者(必填)】Zhang lan 【文题(必填)】From Martingales to ANOVA : implied and realized volatility[/backcolor] 【年份(必填)】2001 【全文链接或数据库名称(选填)】PHD Thesis -University of Chicag ...2019-6-1 16:16 - jiandong4388 - 求助成功区

HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonline
1 个回复 - 742 次查看【作者(必填)】Giuseppe Buccheri, Fulvio Corsi 【文题(必填)】HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies 【年份(必填)】2019 【全文链接或数据库 ...2019-10-9 06:47 - hnhs100 - 求助成功区

Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS
4 个回复 - 976 次查看【作者(必填)】Daniel Borup[/backcolor] 【文题(必填)】Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model 【年份(必填)】2019 【全文链接或数据库名称(选填)】http ...2019-8-22 15:22 - hnhs100 - 求助成功区

求 Forecasting realized volatility: A review
1 个回复 - 773 次查看【作者(必填)】Dong WanShin 【文题(必填)】Forecasting realized volatility: A review[/backcolor] 【年份(必填)】2018 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/p ...2018-9-12 12:51 - yangboli_qt - 求助成功区

Forecasting realized volatility of oil futures market: A new insight
1 个回复 - 709 次查看【作者(必填)】 [*]Feng Ma[/backcolor] [*]Yu Wei [/backcolor] [*]Li Liu[/backcolor] [*]Dengshi Huang[/backcolor] 【文题(必填)】Forecasting realized volati ...2018-6-26 10:45 - byliu - 求助成功区

GMM estimation of a realized stochastic volatility model: A Monte Carlo study
1 个回复 - 701 次查看【作者(必填)】Pierre Chaussé[/backcolor] &Dinghai Xu[/backcolor] 【文题(必填)】GMM estimation of a realized stochastic volatility model: A Monte Carlo study 【年份(必填)】2016 【全文链接或数据 ...2017-10-20 09:20 - hnhs100 - 求助成功区

不用了Forecasting realized volatility using a long-memory stochastic volatility
2 个回复 - 562 次查看【作者(必填)】RohitDeoCliffordHurvichYiLu 【文题(必填)】Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 【年份(必填)】 ...2017-10-3 11:11 - 醋姐 - 求助成功区

求realized stochastic volatility代码
8 个回复 - 2480 次查看求估计已实现随机波动率（realized stochastic volatility）的R语言、matlab等可以实现的代码。2016-10-25 21:11 - 苗家9 - 金融工程（数量金融）与金融衍生品

问一个关于realized volatility弱弱的问题
3 个回复 - 1695 次查看各位大侠，小弟刚刚开始学习realized volatiltiy。现在遇到问题关于数据频率选取问题。因为高频的股票数据比较难得，我能不能用1天来做为频率呀？这样我用5年前的数据来推出5年后的波动，不知道这样可不可以？麻烦大 ...2009-8-18 08:28 - eskimoren - 爱问频道

Exponential GARCH Modeling With Realized Measures of Volatility
1 个回复 - 781 次查看【作者(必填)】 Peter Reinhard Hansen[/backcolor] & Zhuo Huang[/backcolor] 【文题(必填)】 Exponential GARCH Modeling With Realized Measures of Volatility【年份(必填)】 2012 【全文链接或数据库名称( ...2016-12-24 16:34 - internet.hzx - 求助成功区

The economic value of volatility timing using “realized” volatility
4 个回复 - 995 次查看文献求助： The economic value of volatility timing using “realized” volatility J Fleming, C Kirby, B Ostdiek - Journal of Financial Economics, 2003 - Elsevier2016-8-1 13:24 - lk1966mail - 求助成功区

Realized Volatility Forecast of Stock Index Under Structural Breaks
2 个回复 - 748 次查看【作者(必填)】【文题(必填)】Realized Volatility Forecast of Stock Index Under Structural BreaksK Yang, L Chen, F Tian - Journal of Forecasting, 2015 - Wiley Online Library 【年份(必填)】【全 ...2016-1-21 11:08 - 金融坦然 - 求助成功区

Detrending the Realized Volatility in the Global FX Market
4 个回复 - 904 次查看【作者(必填)】Schmidt, Anatoly B. 【文题(必填)】Detrending the Realized Volatility in the Global FX Market 【年份(必填)】May2009, Vol. 388 Issue 9, p1887-1892. 6p. 【全文链接或数据库名称(选填) ...2015-3-10 21:59 - peiwen_zhang - 求助成功区

The impact of overnight returns on realized volatility
1 个回复 - 1319 次查看【作者(必填)】【文题(必填)】The impact of overnight returns on realized volatilityTC Tseng, HC Lai, CF Lin - Applied Financial Economics, 2012 - Taylor & Francis 【年份(必填)】【全文链接或数 ...2014-6-30 09:58 - 金融坦然 - 求助成功区

Realized Range Volatility Forecasting: Dynamic Features and Predictive Variables
1 个回复 - 904 次查看【作者(必填)】【文题(必填)】 Realized Range Volatility Forecasting: Dynamic Features and Predictive Variables 【年份(必填)】【全文链接或数据库名称(选填)】2014-3-4 17:25 - 金融坦然 - 文献求助专区

Realized Range Volatility Forecasting: Dynamic Features and Predictive Variable
1 个回复 - 775 次查看【作者(必填)】【文题(必填)】Realized Range Volatility Forecasting: Dynamic Features and Predictive Variables Massimiliano Caporin University of Padova - Department of Economics and Management ...2014-3-4 16:55 - 金融坦然 - 文献求助专区

有关Realized Volatility (RV) 与GARCH(1,1)的问题
2 个回复 - 4213 次查看 有关Realized Volatility (RV) 与GARCH(1,1)的问题。有人能看看如下2幅图图1是GARCH(1,1) forecast 图2 是RV 理论上说RV相对于RV有很更好forecasting power. 但是如何从图上分 ...2008-3-17 04:23 - qfnuts - EViews专版

Realized volatility and jumps in the Athens Stock Exchange
4 个回复 - 943 次查看【作者(必填)】【文题(必填)】Realized volatility and jumps in the Athens Stock Exchange 【年份(必填)】【全文链接或数据库名称(选填)】2013-8-30 15:01 - 金融坦然 - 求助成功区

Box–Cox transforms for realized volatility
1 个回复 - 727 次查看【作者(必填)】 Sílvia Gon, Nour Meddahib 【文题(必填)】Box–Cox transforms for realized volatility 【年份(必填)】2011 【全文链接或数据库名称(选填)】http://www.sciencedirect.com/sci ... i/S03044 ...2013-9-7 16:46 - hnhs100 - 求助成功区

Realized Volatility and Jumps in the Athens Stock Exchang
1 个回复 - 966 次查看【作者(必填)】【文题(必填)】Realized Volatility and Jumps in the Athens Stock Exchange Dimitrios D. Thomakos University of Peloponnese - School of Management and Economics Dimitrios I. Vor ...2013-8-30 15:10 - 金融坦然 - 求助成功区

Realized volatility forecasting: empirical evidence from stock market indices an
2 个回复 - 783 次查看【作者(必填)】Linlan Xiaoa* 【文题(必填)】Realized volatility forecasting: empirical evidence from stock market indices and exchange rates 【年份(必填)】【全文链接或数据库名称(选填)】2013-8-30 08:38 - 金融坦然 - 求助成功区

Forecasting Stock Index Realized Volatility with an Asymmetric HAR-FIGARCH Model
1 个回复 - 1223 次查看【作者(必填)】 Dimitrios P. Louzis Athens University of Economics and Business; Bank of Greece Spyros Xanthopoulos-Sisinis Athens University of Economics and Business - Department of Managemen ...2013-8-30 08:35 - 金融坦然 - 求助成功区

Modelling and Forecasting Noisy Realized Volatility
2 个回复 - 740 次查看【作者(必填)】Asai, Manabu, Michael McAleer and Marcelo C. Medeiros 【文题(必填)】Modelling and Forecasting Noisy Realized Volatility 【年份(必填)】【全文链接或数据库名称(选填)】2013-8-30 08:50 - 金融坦然 - 求助成功区

Estimating stochastic volatility models using daily returns and realized volatil
1 个回复 - 855 次查看【作者(必填)】 [*]Makoto Takahashia, [*]Yasuhiro Omorib, [*]Toshiaki Watanabec, 【文题(必填)】Estimating stochastic volatility models using daily returns and realized volatility simultaneously ...2013-6-24 07:53 - hnhs100 - 求助成功区

如何建立realized volatility 通过eview7
1 个回复 - 1892 次查看请问谁知道如何建立realized volatility 通过eview7? 我现在有大概5万个CSI 300 股指的每分钟数据，我想建立一个realized volatility 的图表。另外，谁知道怎么用eview 检验 intraday jumps 和 intraday periodicity ...2013-4-13 00:28 - zhangqiang-163 - EViews专版

A Markov-switching Multifractal Approach to Forecasting Realized Volatility
4 个回复 - 1860 次查看 The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Metho ...2012-9-4 10:22 - yangke74 - 计量经济学与统计软件

Realizing smiles: Options pricing with realized volatility
2 个回复 - 908 次查看【作者(必填)】 [*]Fulvio Corsia, , [*]Nicola Fusarib, , , [*]Davide La Vecchiac, 【文题(必填)】Realizing smiles: Options pricing with realized volatility 【年份(必填)】2013 【全文链接或 ...2013-3-3 08:56 - hnhs100 - 求助成功区

A simple approximate long-memory model of realized volatility
2 个回复 - 1530 次查看【作者(必填)】【文题(必填)】A simple approximate long-memory model of realized volatilityF Corsi - Journal of Financial Econometrics, 2009 - rpproxy.iii.com 【年份(必填)】【全文链接或数据库 ...2012-3-30 13:05 - 金融坦然 - 求助成功区

A simple approximate long-memory model of realized volatility
1 个回复 - 1765 次查看【作者(必填)】【文题(必填)】A simple approximate long-memory model of realized volatilityF Corsi - Journal of Financial Econometrics, 2009 - rpproxy.iii.com 【年份(必填)】【全文链接或数据库 ...2012-4-26 21:44 - 金融坦然 - 求助成功区

Realized GARCH: a joint model for returns and realized measures of volatility
2 个回复 - 1326 次查看【作者(必填)】【文题(必填)】Realized GARCH: a joint model for returns and realized measures of volatility 【年份(必填)】 PR Hansen, Z Huang… - Journal of Applied …, 2011 - Wiley Online Library ...2012-4-19 08:12 - 金融坦然 - 求助成功区

Forecasting stock index realized volatility with an Asymmetric HAR-FIGARCH mode
2 个回复 - 1411 次查看【作者(必填)】【文题(必填)】Forecasting stock index realized volatility with an Asymmetric HAR-FIGARCH model: The case of S&P 500 and DJIA stock indicesDP Louzis, S Xanthopoulos-Sisinis… - pape ...2012-4-18 21:45 - 金融坦然 - 求助成功区

tandfonline文献一篇Discrete sine transform for multi-scale realized volatility m
1 个回复 - 794 次查看【作者(必填)】 Giuseppe Curcia & Fulvio Corsib* 【文题(必填)】 Discrete sine transform for multi-scale realized volatility measures 【年份(必填)】 2012 【全文链接或数据库名称(选填)】 http ...2012-4-7 14:15 - waterup - 求助成功区

Forecasting realized volatility: a Bayesian model-averaging approach
3 个回复 - 1382 次查看 Journal of Applied EconometricsVolume 24, Issue 5, pages 709–733,August 20092011-1-23 00:31 - lanmeng1234 - 文献求助专区

Assessing market microstructure effects via realized volatility measures with
1 个回复 - 1138 次查看【作者(必填)】 Awartani, B. Corradi, V. Distaso, W 【文题(必填)】 Assessing market microstructure effects via realized volatility measures with an application to the dow jones industrial avera ...2011-12-24 13:28 - sqq19860225 - 求助成功区

Corrections The Distribution of Realized Exchange Rate Volatility
1 个回复 - 1518 次查看 Corrections The Distribution of Realized Exchange Rate Volatility2009-9-1 04:02 - allenmagic - 金融学（理论版）

MODELING AND FORECASTING REALIZED VOLATILITY波动估计方法
1 个回复 - 1826 次查看一篇Andersen and Bollerslev波动率估计方法的文献2010-4-20 15:46 - maple992 - R语言论坛

Modeling and Forecasting Realized Volatility
0 个回复 - 1392 次查看关于实际波动率的论文，经典之作。Modeling and Forecasting Realized Volatility2009-9-1 04:04 - allenmagic - 金融学（理论版）

求助关于 realized volatility 的弱智问题
1 个回复 - 3628 次查看大侠，小弟刚刚开始学习realized volatiltiy。现在遇到问题关于数据频率选取问题。因为高频的股票数据比较难得，我能不能用1天来做为频率呀？这样我用5年前的数据来推出5年后的波动，不知道这样可不可以？麻烦大家了 ...2009-8-18 19:34 - eskimoren - EViews专版

Realized volatility 两篇经典论文和一本最好的书
8 个回复 - 5780 次查看两篇论文和一本书，1. Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P. (2001b). “The distribution of realized exchange rate volatility”. Journal of the American Statistical Association ...2008-10-8 05:48 - xyd1515 - 计量经济学与统计软件

realized volatility
0 个回复 - 2549 次查看请问各位大家，有没有用sas做realized volatility的参考资料，本人高价求购！2008-6-5 23:31 - tianjfang - SAS专版

Realized Volatility in the Agricultural Futures Market-农产品期货市场实现波动
0 个回复 - 145 次查看 2005-10-29 21:32 - 股票回购218 - Forum

Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for ...
0 个回复 - 165 次查看 2005-4-6 13:53 - 医社保944 - Forum

Validity of Edgeworth expansions for realized volatility estimators
0 个回复 - 276 次查看 2004-11-29 20:51 - 收入差距726 - Forum

Bootstrapping realized volatility and realized beta under a local Gaussiani...
0 个回复 - 978 次查看 2004-11-22 13:15 - 供应链992 - Forum

Bootstrapping realized volatility and realized beta under a local Gaussiani...
0 个回复 - 329 次查看 2004-11-22 09:08 - 信息论与编码425 - Forum

Exponential GARCH Modeling with Realized Measures of Volatility-指数GARCH建模与实...
0 个回复 - 579 次查看 2004-11-19 17:05 - 稽核084 - Forum

Latent Integrated Stochastic Volatility, Realized Volatility, and Implied V...
0 个回复 - 591 次查看 2004-11-3 11:55 - 去杠杆666 - Forum

Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
0 个回复 - 952 次查看 2004-10-27 08:33 - 社群经济404 - Forum

Realized Volatility and Multipower Variation-已实现的波动和多功率变化
0 个回复 - 713 次查看 2004-10-21 21:34 - 总供给640 - Forum

Modelling and Forecasting Multivariate Realized Volatility
0 个回复 - 235 次查看 2004-9-19 00:40 - 孙久文286 - Forum

Option Pricing using Realized Volatility-利用已实现波动率的期权定价
0 个回复 - 392 次查看 2004-9-7 22:30 - 印度经济293 - Forum

Option Pricing using Realized Volatility
0 个回复 - 272 次查看 2004-9-4 20:07 - wenO6ZTcp8ct6 - Forum

The Role of Implied Volatility in Forecasting Future Realized Volatility an...
0 个回复 - 392 次查看 2004-7-29 15:12 - 论语与算盘448 - Forum

The Role of Implied Volatility in Forecasting Future Realized Volatility an...
0 个回复 - 274 次查看 2004-7-22 16:15 - 边际收益704 - Forum

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