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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.... model fit and volatility forecasting over the existing models.
  • Subject Heading...latility model Volatility forecasting

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
  • Subject Heading...tic volatility Volatility forecasting

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
  • Subject Heading... Value-at-Risk Volatility forecasting Realized volatility models

Volatility forecasting: the jumps do matter

Volatility forecasting: the jumps do matter
Digital文書・図像類
Corsi, Fulvio, Pirino, Davide, Ren?, RobertoInstitute of Economic Research, Hitotsubashi University2009-03
Available onlineOther Libraries in Japan
  • Summary, etc....e of jumps for volatility forecasting by showing that jumps have a ...
  • Subject Headingvolatility forecasting jumps bipower variation thres...

Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach

Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
Digital文書・図像類
Fulop, Andras, Li, Junye, Yu, JunInstitute of Economic Research, Hitotsubashi University2012-12
Available onlineOther Libraries in Japan
  • Summary, etc....on pricing and volatility forecasting.
  • Subject Heading...Option Pricing Volatility Forecasting

Simple Expected Volatility (SEV) Index : Application to SET50 Index Options

Simple Expected Volatility (SEV) Index : Application to SET50 Index Options
Paper文書・図像類
Chatayan, Wiphatthanananthakul, McAleer, Michael日本経済国際共同センター2009-09Discussion paper series. CIRJE-FCIRJE-F-672
Other Libraries in Japan
  • Subject Heading...ng time series volatility forecasting JEL classifications: C22, C52...

Forecasting Realized Volatility with Linear and Nonlinear Models

Forecasting Realized Volatility with Linear and Nonlinear Models
Paper文書・図像類
McAleer, Michael, Medeiros, Marcelo C.日本経済国際共同センター2009-10Discussion paper series. CIRJE-FCIRJE-F-686
Other Libraries in Japan
  • Subject HeadingFinancial econometrics volatility forecasting neural networks nonlinear mod...

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