Realized volatility of index constituent stocks in Hong Kong

DOI10.1016/j.matcom.2008.10.007zbMath1168.91470OpenAlexW2008458145MaRDI QIDQ834300

Ying-Foon Chow, James T. K. Lam, Hinson S. Yeung

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.10.007

zbMATH Keywords

correlationhigh-frequency datarealized volatilityequity markets

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Statistical methods in finance
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Realized Volatility: A Review
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales