Euro Area Sovereign Bond Yields during the Covid-19 Pandemic: What Do They Tell Us?
In: European Capital Markets Institute (ECMI), Commentary no 76 - September 2021
19 Ergebnisse
Sortierung:
In: European Capital Markets Institute (ECMI), Commentary no 76 - September 2021
SSRN
In: Bulletin of economic research, Band 68, Heft 2, S. 124-132
ISSN: 1467-8586
ABSTRACTFollowing recent advances in the non‐parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyse the distributional properties of the jump measures vis‐à‐vis the corresponding realized volatility ones, and compare them to those of aggregate US market index series. We also demonstrate important gains in the forecasting accuracy of high‐frequency volatility models.
In: Bulletin of Economic Research, Band 68, Heft 2, S. 124-132
SSRN
In: Journal of economics and business, Band 76, S. 133-139
ISSN: 0148-6195
In: Journal of Economics and Business, Band 76, Heft 2014
SSRN
In: Review of Accounting and Finance, Band 13, Heft 3, S. 291-306
SSRN
In: Crisis Observatory, ELIAMEP, Hellenic Foundation for European & Foreign Policy, Research Paper No 11, June 2014
SSRN
In: Economic notes, Band 41, Heft 3, S. 173-182
ISSN: 1468-0300
In this study we estimate and compare the realized range volatility, a novel efficient volatility estimator computed by summing high–low ranges for intra‐day intervals, to the recently popularized realized variance estimator obtained by summing squared intra‐day returns. Our results, derived from a Greek equity high‐frequency data set, show that realized range‐based measures improve upon the corresponding realized variance‐based ones in most cases, especially for the most actively traded stocks. The usefulness of high‐frequency data in measuring and forecasting financial volatility is apparent throughout the paper.
In: Journal of International Financial Markets, Institutions and Money, Vol. 72, 101334, 2021
SSRN
In: European Journal of Finance, Forthcoming
SSRN
In: Finance Research Letters, Band 38, Heft 101420
SSRN
In: Journal of Banking and Finance, Band 114
SSRN
In: Journal of International Financial Markets, Institutions and Money, Vol.62, pp. 53-73, 2019
SSRN
In: International Journal of Finance & Economics, Band 29, S. 1877-1895
SSRN
In: Environmental and resource economics, Band 80, Heft 4, S. 795-819
ISSN: 1573-1502