Realized Volatility Risk

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Summary, etc.：: In this paper we show that realized variation measures constructed from high- frequency returns reveal a large degree of volatility risk in stock and ...

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Material Type: 規格・テクニカルリポート類
Title: Realized Volatility Risk
Author/Editor: Allen, David E.
McAleer, Michael
Scharth, Marcel
Author Heading: Allen, David E.
McAleer, Michael
Scharth, Marcel
Publication, Distribution, etc.: 京都大学経済研究所
Publication Date: 2010-12
Publication Date (W3CDTF): 2010
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 753
Volume: 753
Subject Heading: Realized volatility
volatility of volatility
volatility risk
value-at-risk
forecasting
conditional heteroskedasticity
NDC: 330
Target Audience: 一般
Note (General): 出版タイプ： AM
Format (IMT): application/pdf
Source: DP753.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/134635/1/DP753.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ