Study on volatility copersistence based on realized volatility and its application

被引:0
|
作者
Guo, Ming-Yuan [1 ]
Zhang, Shi-Ying [1 ]
机构
[1] School of Management, Tianjin University, Tianjin 300072, China
关键词
D O I
暂无
中图分类号
学科分类号
摘要
引用
收藏
页码:30 / 35
相关论文
共 50 条
  • [1] The volatility of realized volatility
    Corsi, Fulvio
    Mittnik, Stefan
    Pigorsch, Christian
    Pigorsch, Uta
    ECONOMETRIC REVIEWS, 2008, 27 (1-3) : 46 - 78
  • [2] Study on Realized Volatility and its application in China's stock market
    Guo, Mingyuan
    Zhang, Shiying
    ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 222 - 227
  • [3] Volatility modeling with conditional volatility and realized volatility
    Tan, Dijun
    Tian, Yixiang
    PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT, 2007, : 264 - 272
  • [4] Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility
    Kambouroudis, Dimos S.
    McMillan, David G.
    Tsakou, Katerina
    JOURNAL OF FUTURES MARKETS, 2021, 41 (10) : 1618 - 1639
  • [5] Realized Volatility
    Meddahi, Nour
    Mykland, Per
    Shephard, Neil
    JOURNAL OF ECONOMETRICS, 2011, 160 (01) : 1 - 1
  • [6] Study on CVaR Forecasts Based on Weighted Realized Volatility
    Guo Ming-yuan
    Zhang Shi-ying
    2008 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (15TH), VOLS I AND II, CONFERENCE PROCEEDINGS, 2008, : 91 - 96
  • [7] Dynamic volatility management: from conditional volatility to realized volatility
    Zhang, Rongju
    Langrene, Nicolas
    Tian, Yu
    Zhu, Zili
    JOURNAL OF INVESTMENT STRATEGIES, 2019, 8 (02): : 37 - 67
  • [8] Econometric analysis of realized volatility and its use in estimating stochastic volatility models
    Barndorff-Nielsen, OE
    Shephard, N
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2002, 64 : 253 - 280
  • [9] Overnight volatility, realized volatility, and option pricing
    Wang, Tianyi
    Cheng, Sicong
    Yin, Fangsheng
    Yu, Mei
    JOURNAL OF FUTURES MARKETS, 2022, 42 (07) : 1264 - 1283
  • [10] Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets
    Qu, Hui
    Duan, Qingling
    Niu, Mengyi
    ENERGY ECONOMICS, 2018, 74 : 767 - 776