Realized Volatility

DOI10.1007/978-3-540-71297-8_24MaRDI QIDQ3646971zbMATH OpenOpenAlexFDO

Authors Torben G. Andersen, Luca Benzoni

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_24

zbMATH Keywords

Brownian motionrealized volatilitybipower variationvolatility estimationfrictionless market

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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Cited in

(22)

• Realized Volatility: A Review
• Integration of CARMA processes and spot volatility modelling
• Realized volatility of index constituent stocks in Hong Kong
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• The time delay restraining the herd behavior with Bayesian approach
• Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
• Measuring volatility with the realized range
• Zero-intelligence realized variance estimation.
• Realized range-based estimation of integrated variance
• A measure of market volatility based on F-transform
• Realized volatility with stochastic sampling
• Implied and realized volatility: empirical model selection
• Recent results in the theory and applications of CARMA processes
• Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
• Forecasting realized volatility: a review
• Information content of liquidity and volatility measures
• Can volatility solve the naive portfolio puzzle?
• Forecasting price of financial market crash via a new nonlinear potential GARCH model
• Realized beta: persistence and predictability
• Time-varying forecasts by variational approximation of sequential Bayesian inference
• European option pricing with stochastic volatility models under parameter uncertainty

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