Realized volatility forecasting and option pricing

DOI10.1016/J.JECONOM.2008.09.002MaRDI QIDQ299252zbMATH OpenOpenAlexFDO

Authors Federico M. Bandi, Jeffrey R. Russell, Chen Yang

Publication date 22 June 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.09.002

zbMATH Keywords

option pricingmicrostructure noiserealized variancevolatility forecastingeconomic metricsrealized kernelstwo-scale estimator

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Forecasting realized volatility: a review
• Modeling and Forecasting Realized Volatility
• Pricing options on realized variance
• Volatility estimation from observed option prices
• Option and Futures Evaluation With Deterministic Volatilities¹
• Evaluating volatility forecasts in option pricing in the context of a simulated options market
• Semi-Parametric Forecasting of Realized Volatility
• Real Options and Risk Dynamics
• Stochastic Volatility Models and Option Prices

Cites work

• A Tale of Two Time Scales
• 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
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Modeling and Forecasting Realized Volatility
• Out of sample forecasts of quadratic variation
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Predictive Inference for Integrated Volatility
• Realized Volatility: A Review
• Realized volatility forecasting and market microstructure noise
• Realized volatility forecasting and option pricing
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Using High-Frequency Data in Dynamic Portfolio Choice
• Variation, jumps and high-frequency data in financial econometrics
• Volatility forecasting and microstructure noise

Cited in

(17)

• Volatility forecasts and the profitability of automated trading strategies
• Structural estimation of real options models
• Faster convergence to the estimation of quadratic variation with microstructure noise
• Zero-intelligence realized variance estimation.
• Real Options and Risk Dynamics
• Realized volatility forecasting and option pricing
• Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
• Assessing the quality of volatility estimators via option pricing
• Evaluating volatility forecasts in option pricing in the context of a simulated options market
• Identifying the volatility of underlying assets from option prices
• A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
• Forecasting the volatility of crude oil futures using intraday data
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
• Modeling and Forecasting Realized Volatility
• Fourier volatility forecasting with high-frequency data and microstructure noise
• Realized volatility forecasting and market microstructure noise
• Volatility forecasting and microstructure noise

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