Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Forecasting"
DOI: 10.1002/for.2463
Abstract: This paper uses high-frequency continuous intraday electricity price data from the EPEX market to estimate and forecast realized volatility. Three different jump tests are used to break down the variation into jump and continuous components… read more here.
Keywords: realized volatility; volatility; intraday electricity; continuous intraday ... See more keywords
Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator
Sign Up to like & getrecommendations! Published in 2020 at "Borsa Istanbul Review"
DOI: 10.1016/j.bir.2020.10.001
Abstract: Abstract Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR) with GARCH,… read more here.
Keywords: har garch; volatility transmission; realized volatility; volatility ... See more keywords
Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101706
Abstract: Abstract We study the simultaneity impact of the European Central Bank news on the daily realized volatility transmission mechanism (spillovers) among various US spot and futures markets. To this end, we apply a bias-corrected vector… read more here.
Keywords: ecb news; news; realized volatility; spot futures ... See more keywords
Forecasting the realized volatility of CSI 300
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2019.121799
Abstract: Abstract According to the characteristics of realized volatility existing in Shanghai and Shenzhen 300 index (China Securities Index 300, CSI 300), the GARCH family model is introduced to describe the ARCH effect of error sequences… read more here.
Keywords: volatility; garch family; volatility csi; realized volatility ... See more keywords
Macro factors and the realized volatility of commodities: A dynamic network analysis
Sign Up to like & getrecommendations! Published in 2020 at "Resources Policy"
DOI: 10.1016/j.resourpol.2020.101813
Abstract: Abstract This paper explores the relationship between macro-factors and the realized volatility of commodity futures. Three main commodities—soybeans, gold and crude oil—are investigated using high-frequency data. For macro factors, we select six indicators including economic… read more here.
Keywords: macro factors; realized volatility; volatility; volatility commodities ... See more keywords
The Term Structure of Option-Implied Volatility and Future Realized Volatility
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2019.1612360
Abstract: ABSTRACT We extract the short-, medium-, and long-term factors from the term structure of the option-implied volatility (OIV) of the S&P 500, the FTSE 100, and the Chinese 50 Exchange-Traded Funds (ETF), using an extension… read more here.
Keywords: term; volatility; term structure; realized volatility ... See more keywords
Investor Happiness and Predictability of the Realized Volatility of Oil Price
Sign Up to like & getrecommendations! Published in 2020 at "Sustainability"
DOI: 10.3390/su12104309
Abstract: We use the the heterogeneous autoregressive realized volatility (HAR-RV) model to analyze both in sample and out-of-sample whether a measure of investor happiness predicts the daily realized volatility of oil-price returns, where we use high-frequency… read more here.
Keywords: investor happiness; realized volatility; volatility; oil ... See more keywords