The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

DOI10.1016/J.JECONOM.2010.03.014zbMATH Open1441.62620OpenAlexW3124028486MaRDI QIDQ737260FDOQ737260

Authors: Thomas Busch, Bent Jesper Christensen, Morten Ørregaard Nielsen 

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/273658

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zbMATH Keywords

jumpsoptionsrealized volatilityimplied volatilitybipower variationvolatility forecastingHAR (heterogeneous autoregressive model)vechar

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The pricing of options and corporate liabilities
• A multiple indicators model for volatility using intra-daily data
• Modeling and Forecasting Realized Volatility
• Title not available (Why is that?)
• Power Variation and Time Change
• Variation, jumps and high-frequency data in financial econometrics
• Volatility puzzles: a simple framework for gauging return-volatility regressions
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• Limit theorems for multipower variation in the presence of jumps

Cited In (27)

• Cross-section stock return and implied covariance between jump and diffusive volatility
• A generalized heterogeneous autoregressive model using market information
• Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
• Optimization of nonlinear geological structure mapping using hybrid neuro-genetic techniques
• A CUSUM test for a long memory heterogeneous autoregressive model
• Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
• Forecasting time series with multivariate copulas
• Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
• Benefit volatility-targeting strategies in lifetime pension pools
• Simple factor realized stochastic volatility models
• Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
• The role of news-based implied volatility among US financial markets
• Infinite-order, long-memory heterogeneous autoregressive models
• Forecasting realized volatility: a review
• The VIX, the variance premium and stock market volatility
• Long memory, realized volatility and heterogeneous autoregressive models
• Selecting the best forecasting-implied volatility model using genetic programming
• Co-jumping of treasury yield curve rates
• Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
• A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
• Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
• An integrated heteroscedastic autoregressive model for forecasting realized volatilities
• The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
• Probabilistic forecasts of volatility and its risk premia
• Threshold bipower variation and the impact of jumps on volatility forecasting

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