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High-frequency realized stochastic volatility model

High-frequency realized stochastic volatility model
Digital文書・図像類
Watanabe, Toshiaki, Nakajima, JouchiHitotsubashi Institute for Advanced Study, Hitotsubashi University2023-01
Available onlineOther Libraries in Japan
  • Summary, etc....rns. The daily realized volatility calculated usi......s in the daily realized volatility caused by microstructure nois...
  • Subject Heading...in Monte Carlo Realized volatility Stochastic volatility model V...

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
Digital文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, YasuhiroHitotsubashi Institute for Advanced Study, Hitotsubashi University2021-01
Available onlineOther Libraries in Japan
  • Summary, etc....el using daily realized volatility (RV) and the realized SV (RSV...
  • Subject Heading...e Carlo (MCMC) Realized volatility Stochastic volatility Volatil...

Pricing Nikkei 225 Options Using Realized Volatility

Pricing Nikkei 225 Options Using Realized Volatility
Digital文書・図像類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2013-01
Available onlineOther Libraries in Japan
  • Summary, etc....he dynamics of realized volatility is specified b......rge jumps from realized volatility.
  • Subject Headingmicrostructure noise Nikkei 225 stock index non-trading hours option pricing realized volatility

Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management

Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management
Digital文書・図像類
CHEN, Cathy W.S., WENG, Monica M.C., 渡部, 渡部Hitotsubashi Institute for Advanced Study, Hitotsubashi University2015-12-08
Available onlineOther Libraries in Japan
  • Summary, etc....ons, including realized volatility models. To evaluate the accur...
  • Subject Heading...ty forecasting Realized volatility models

Option Pricing Using Realized Volatility and ARCH Type Models

Option Pricing Using Realized Volatility and ARCH Type Models
Digital文書・図像類
渡部, 敏明, 生方, 雅人Institute of Economic Research, Hitotsubashi University2009-04
Available onlineOther Libraries in Japan
  • Summary, etc.... whether daily realized volatility, which is the ......he dynamics of realized volatility. The former ca......del with daily realized volatility performs best,......calculation of realized volatility to take account of microstruc...
  • Subject HeadingARFIMA GARCH Microstructure Noise Option Realized Volatility

Asymmetry and Long Memory in Volatility Modelling

Asymmetry and Long Memory in Volatility Modelling
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-10KIER Discussion Paper726
Available onlineOther Libraries in Japan
  • Summary, etc....ecification to realized volatility by taking acco......w model to the realized volatility of Standard and Poor's 500 Co...
  • Subject Heading...ty long memory realized volatility measurement errors efficient ...

Predicting Interest Rate Volatility: Using Information on the Yield Curve

Predicting Interest Rate Volatility: Using Information on the Yield Curve
Digital文書・図像類
髙見澤, 秀幸Hitotsubashi University Center for Financial Research2012-02
Available onlineOther Libraries in Japan
  • Subject Heading...vel-dependence Realized volatility Approximation of conditional ...

Realized Volatility Risk

Realized Volatility Risk
Paper文書・図像類
Allen, David E., McAleer, Michael, Scharth, Marcel日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-693
Other Libraries in Japan
  • Subject HeadingRealized volatility volatility of volatility valu...

Modelling and Forecasting Noisy Realized Volatility

Modelling and Forecasting Noisy Realized Volatility
Digital文書・図像類
Asai, Manabu, McAleer, Michael, Medeiros, Marcelo C.Institute of Economic Research, Kyoto University2011-01KIER Discussion Paper758
Available onlineOther Libraries in Japan
  • Summary, etc....and consistent realized volatility (RV) estimates......ise is called "realized volatility error". Since such errors are...
  • Subject Headingrealized volatility diffusion financial econometr...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
Paper文書・図像類
Shirota, Shinichiro, Hizu, Takayuki, Omori, Yasuhiro日本経済国際共同センター2013-03Discussion paper series. CIRJE-FCIRJE-F-880
Other Libraries in Japan
  • Subject Heading...ixture sampler Realized volatility Realized stochastic volatilit...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
Paper文書・図像類
Shirota, Shinichiro, Hizu, Takayuki, Omori, Yasuhiro日本経済国際共同センター2012-11Discussion paper series. CIRJE-FCIRJE-F-869
Other Libraries in Japan
  • Subject Heading...ixture sampler Realized volatility Realized stochastic volatilit...

Quantile Forecasts of Financial Returns Using Realized GARCH Models

Quantile Forecasts of Financial Returns Using Realized GARCH Models
Digital文書・図像類
渡部, 敏明Institute of Economic Research, Hitotsubashi University2011-07
Available onlineOther Libraries in Japan
  • Summary, etc....RCH model with realized volatility (RV), to quant......d of the plain realized volatility, implying that the realized G...
  • Subject HeadingExpected shortfall GARCH Realized volatility Skewed student's t-distributi...

Realized Volatility Risk

Realized Volatility Risk
Digital文書・図像類
Allen, David E., McAleer, Michael, Scharth, MarcelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper753
Available onlineOther Libraries in Japan
  • Summary, etc....ting errors in realized volatility are substantiv......lly asymmetric realized volatility model, which i...... the fact that realized volatility series are systematically mor...
  • Subject HeadingRealized volatility volatility of volatility vola...

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
Paper文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, Yasuhiro日本経済国際共同センター2014-02Discussion paper series. CIRJE-FCIRJE-F-921
Other Libraries in Japan
  • Subject Heading...in Monte Carlo Realized volatility Stochastic volatility Value-a...

Modelling and Forecasting Noisy Realized Volatility

Modelling and Forecasting Noisy Realized Volatility
Paper文書・図像類
Asai, Manabu, McAleer, Michael, Medeiros, Marcelo C.日本経済国際共同センター2009-09Discussion paper series. CIRJE-FCIRJE-F-669
Other Libraries in Japan
  • Subject Headingrealized volatility diffusion financial econometr...

Information Loss in Volatility Measurement with Flat Price Trading

Information Loss in Volatility Measurement with Flat Price Trading
Digital文書・図像類
Phillips, Peter C. B., Jun, YuInstitute of Economic Research, Hitotsubashi University2009-03
Available onlineOther Libraries in Japan
  • Summary, etc....e conventional realized volatility (RV) measure o......hang (2006) on realized volatility measures with random and inte...
  • Subject Heading...icity function Realized volatility Stopping times

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data
Digital文書・図像類
増田, 弘毅, 森本, 孝之Institute of Economic Research, Hitotsubashi University2009-02
Available onlineOther Libraries in Japan
  • Subject Heading...tructure noise realized volatility Japanese stock markets varian...

Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously

Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously
Paper文書・図像類
Takahashi, Makoto, Omori, Yasuhiro, Watanabe, Toshiaki日本経済国際共同センター2007-09Discussion paper series. CIRJE-FCIRJE-F-515
Other Libraries in Japan
  • Subject Heading...i-move sampler Realized volatility Stochastic volatility

A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors

A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors
Paper文書・図像類
Sato, Seisho, Kunitomo, Naoto日本経済国際共同センター2011-06Discussion paper series. CIRJE-FCIRJE-F-803
Other Libraries in Japan
  • Subject HeadingRealized Volatility with Micro-Market Noise High-...

Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise

Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise
Paper文書・図像類
Kunitomo, Naoto, Sato, Seisho日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-733
Other Libraries in Japan
  • Subject HeadingRealized Volatility with Micro-Market Noise High-...
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