نتایج جستجو برای: multi scale realized volatility
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We use an international dataset on 5-min interval intraday data covering nine leading markets and regions to construct measures of realized volatility, jumps, skewness, kurtosis returns Real Estate Investment Trusts (REITs) over the daily period September 2008 August 2020. study out-of-sample predictive value skewness for volatility above where we also differentiate between “good” “bad” volatil...
We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized variance and covariance ...
Objective: The present study aims atinvestigating the behavior of realized volatility for high-frequency data of Tehran Stock Index from April28th, 2012 to August 8th, 2018. Methods: Three different types of HAR models including of HAR-RV-CJ, HAR-RV and HAR-RVJ were used to analyze the Realized Volatility. Results: The obtained results of three diverse models revealed that the estimated Reali...
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