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High-frequency realized stochastic volatility model

High-frequency realized stochastic volatility model
デジタル文書・図像類
Watanabe, Toshiaki, Nakajima, JouchiHitotsubashi Institute for Advanced Study, Hitotsubashi University2023-01
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  • 要約等...rns. The daily realized volatility calculated usi......s in the daily realized volatility caused by microstructure nois...
  • 件名...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
デジタル文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, YasuhiroHitotsubashi Institute for Advanced Study, Hitotsubashi University2021-01
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  • 要約等...el using daily realized volatility (RV) and the realized SV (RSV...
  • 件名...e Carlo (MCMC) Realized volatility Stochastic volatility Volatil...

Pricing Nikkei 225 Options Using Realized Volatility

Pricing Nikkei 225 Options Using Realized Volatility
デジタル文書・図像類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2013-01
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  • 要約等...he dynamics of realized volatility is specified b......rge jumps from realized volatility.
  • 件名microstructure 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
デジタル文書・図像類
CHEN, Cathy W.S., WENG, Monica M.C., 渡部, 渡部Hitotsubashi Institute for Advanced Study, Hitotsubashi University2015-12-08
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  • 要約等...ons, including realized volatility models. To evaluate the accur...
  • 件名...ty forecasting Realized volatility models

Option Pricing Using Realized Volatility and ARCH Type Models

Option Pricing Using Realized Volatility and ARCH Type Models
デジタル文書・図像類
渡部, 敏明, 生方, 雅人Institute of Economic Research, Hitotsubashi University2009-04
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  • 要約等... 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...
  • 件名ARFIMA GARCH Microstructure Noise Option Realized Volatility

Asymmetry and Long Memory in Volatility Modelling

Asymmetry and Long Memory in Volatility Modelling
デジタル文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-10KIER Discussion Paper726
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  • 要約等...ecification to realized volatility by taking acco......w model to the realized volatility of Standard and Poor's 500 Co...
  • 件名...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
デジタル文書・図像類
髙見澤, 秀幸Hitotsubashi University Center for Financial Research2012-02
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  • 件名...vel-dependence Realized volatility Approximation of conditional ...

Realized Volatility Risk

Realized Volatility Risk
紙文書・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
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  • 件名Realized volatility volatility of volatility valu...

Modelling and Forecasting Noisy Realized Volatility

Modelling and Forecasting Noisy Realized Volatility
デジタル文書・図像類
Asai, Manabu, McAleer, Michael, Medeiros, Marcelo C.Institute of Economic Research, Kyoto University2011-01KIER Discussion Paper758
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  • 要約等...and consistent realized volatility (RV) estimates......ise is called "realized volatility error". Since such errors are...
  • 件名realized volatility diffusion financial econometr...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
紙文書・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
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  • 件名...ixture sampler Realized volatility Realized stochastic volatilit...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
紙文書・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
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  • 件名...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
デジタル文書・図像類
渡部, 敏明Institute of Economic Research, Hitotsubashi University2011-07
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  • 要約等...RCH model with realized volatility (RV), to quant......d of the plain realized volatility, implying that the realized G...
  • 件名Expected shortfall GARCH Realized volatility Skewed student's t-distributi...

Realized Volatility Risk

Realized Volatility Risk
デジタル文書・図像類
Allen, David E., McAleer, Michael, Scharth, MarcelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper753
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  • 要約等...ting errors in realized volatility are substantiv......lly asymmetric realized volatility model, which i...... the fact that realized volatility series are systematically mor...
  • 件名Realized 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
紙文書・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
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  • 件名...in Monte Carlo Realized volatility Stochastic volatility Value-a...

Modelling and Forecasting Noisy Realized Volatility

Modelling and Forecasting Noisy Realized Volatility
紙文書・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
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  • 件名realized volatility diffusion financial econometr...

Information Loss in Volatility Measurement with Flat Price Trading

Information Loss in Volatility Measurement with Flat Price Trading
デジタル文書・図像類
Phillips, Peter C. B., Jun, YuInstitute of Economic Research, Hitotsubashi University2009-03
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  • 要約等...e conventional realized volatility (RV) measure o......hang (2006) on realized volatility measures with random and inte...
  • 件名...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
デジタル文書・図像類
増田, 弘毅, 森本, 孝之Institute of Economic Research, Hitotsubashi University2009-02
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  • 件名...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
紙文書・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
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  • 件名...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
紙文書・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
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  • 件名Realized 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
紙文書・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
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  • 件名Realized Volatility with Micro-Market Noise High-...
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