Keywords: واریانس تحقق یافته; G01; G14; MF-DFA; Intraday data; Efficiency; Realized variance; Long-memory; Quantile-on-quantile;
مقالات ISI واریانس تحقق یافته (ترجمه نشده)
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Keywords: واریانس تحقق یافته; C53; C22; C58; C52; C32; Forecast evaluation; Realized variance; Volatility; Jumps; Semimartingale;
Keywords: واریانس تحقق یافته; C410; G120; Microstructure noise; Noise-to-signal ratio; Realized variance; High-frequency data;
Keywords: واریانس تحقق یافته; C12; C14; C32; C58; Deterministic trends; Factor models; Fractional cointegration; Long memory; Realized variance; Semiparametric estimation; Structural change;
Keywords: واریانس تحقق یافته; Stochastic volatility; Jump-diffusion models; Bayesian inference; Markov chain Monte Carlo; Particle filter; Deviance information criteria; Realized variance; High-frequency returns; Variance risk premium; C11; G11; G12; G17;
Keywords: واریانس تحقق یافته; F31; G14; G15; Price discovery; Realized variance; Macroeconomic announcements; Foreign exchange market; Electronic Broking Services (EBS);
Keywords: واریانس تحقق یافته; G13; Catastrophe equity put options; Realized variance; Realized volatility; Catastrophic events; Doubly stochastic Poisson processes;
Keywords: واریانس تحقق یافته; Generalized Fourier transform; Heston–CIR hybrid model; Realized variance; Stochastic interest rate; Stochastic volatility; Variance swap1G30; 91G20; 91B70
Keywords: واریانس تحقق یافته; Copula; Multivariate dependence; Realized covariance; Realized variance; Value at risk;
Keywords: واریانس تحقق یافته; Horizon effect; Stock return predictability; Realized variance; Short-memory; Long-memory;
Keywords: واریانس تحقق یافته; C14; C58; Additive models; Backfitting; Nonparametric time series analysis; Specification tests; Structural break tests; Realized variance; Heterogeneous autoregressive model;
Keywords: واریانس تحقق یافته; Volatility forecasting; Crude oil futures; Realized variance; Jumps; Realized semivariance
Keywords: واریانس تحقق یافته; G1; Stock return predictability; Implied variance; Realized variance; CAPM; ICAPM;
Keywords: واریانس تحقق یافته; G13; C3; Realized variance; Variance swaps; Volatility swaps; Variance options; Stochastic volatility; Fourier-cosine series;
Keywords: واریانس تحقق یافته; G12; G13; G14; Variance risk premia; Credit default swap spreads; Option-implied variance; Expected variance; Realized variance;
Forecasting the variance of stock index returns using jumps and cojumps
Keywords: واریانس تحقق یافته; Realized variance; Jumps; Cojumps; Point process; Hawkes process; Forecasting;
Intertemporal risk-return relationships in bull and bear markets
Keywords: واریانس تحقق یافته; Bear market; Bull market; Realized variance; Risk-return; G12; C22;
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Keywords: واریانس تحقق یافته; C58; C22; C53; Realized variance; Volatility forecasting; High frequency data;
A path-independent approach to integrated variance under the CEV model
Keywords: واریانس تحقق یافته; CEV process; Realized variance; Small disturbance asymptotic expansion; Brownian bridge; Conditional Monte-Carlo simulation
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
Keywords: واریانس تحقق یافته; Quantile regression; Optimal forecast combination; Encompassing; Conditional coverage; High-frequency data; Realized variance
Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
Keywords: واریانس تحقق یافته; C13; C22; Efficiency; Factoring likelihood; Realized variance;
Predicting stock volatility using after-hours information: Evidence from the NASDAQ actively traded stocks
Keywords: واریانس تحقق یافته; Financial markets; GARCH model; Evaluating forecasts; High-frequency data; Realized variance
International market links and volatility transmission
Keywords: واریانس تحقق یافته; C14; G15; Conditional independence; Jump-diffusion; Noncausality; Quadratic variation; Realized variance;
Variance dynamics: Joint evidence from options and high-frequency returns
Keywords: واریانس تحقق یافته; C13; C51; G12; G13; Return variance dynamics; Variance risk premium; Options; Variance swap rates; High-frequency returns; Market microstructure; Realized variance; Quadratic variation; Time-changed Lévy processes;
Bias-corrected realized variance under dependent microstructure noise
Keywords: واریانس تحقق یافته; Realized variance; Dependent microstructure noise; Two time scales
Estimating quadratic variation when quoted prices change by a constant increment
Keywords: واریانس تحقق یافته; C10; C22; C80; Realized volatility; Realized variance; Quadratic variation; Market microstructure; High-frequency data; Pure jump process;
Econometric analysis of jump-driven stochastic volatility models
Keywords: واریانس تحقق یافته; G12; C51; C52; Lévy process; Method-of-moments; Power variation; Quadratic variation; Realized variance; Stochastic volatility;
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Keywords: واریانس تحقق یافته; C13; C14; C22; Integrated variance; Realized variance; Microstructure noise; Kernel-based estimators;
Estimating covariation: Epps effect, microstructure noise
Keywords: واریانس تحقق یافته; C01; C13; C14; C46; G11; Bias-variance tradeoff; Epps effect; High frequency data; Measurement error; Market microstructure; Martingale; Nonsynchronous trading; Realized covariance; Realized variance; Two scales estimation;
Realized jumps on financial markets and predicting credit spreads
Keywords: واریانس تحقق یافته; C22; G13; G14; Jump-diffusion process; Realized variance; bipower variation; Realized jumps; Jump volatility; Credit risk premium;
Data-based ranking of realised volatility estimators
Keywords: واریانس تحقق یافته; C52; C22; C53; Realized variance; Volatility forecasting; Forecast comparison;
Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets
Keywords: واریانس تحقق یافته; G14; G15; C32; Price discovery; Information share; Sequential markets; Realized variance; Beverage-Nelson decomposition; Efficient price; Foreign exchange rate;
The properties and mechanism of long-term memory in nonparametric volatility
Keywords: واریانس تحقق یافته; Long-term memory; Nonparametric volatility; Realized variance; Realized Bipower Variation; Realized Range-based Variation
Empirical evidence on jumps in the term structure of the US Treasury Market
Keywords: واریانس تحقق یافته; C22; G14US Treasuries; High frequency; Realized variance; Jumps; Cojumping
Asymmetric volatility in the foreign exchange markets
Keywords: واریانس تحقق یافته; F3; Exchange rates; Asymmetric volatility; Leverage effect; Realized variance; Continuous and jump components of volatility;
Realized volatility forecasting and option pricing
Keywords: واریانس تحقق یافته; C53; G13; Option pricing; Microstructure noise; Volatility forecasting; Economic metrics; Realized variance; Two-scale estimator; Realized kernels;
Realized range-based estimation of integrated variance
Keywords: واریانس تحقق یافته; C10; C80; Central limit theorem; Continuous semimartingales; Integrated variance; Realized range-based variance; Realized variance;
Content horizons for conditional variance forecasts
Keywords: واریانس تحقق یافته; GARCH; High-frequency data; Integrated variance; Realized variance;