𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Bootstrapping realized multivariate volatility measures

✍ Scribed by Prosper Dovonon; Sílvia Gonçalves; Nour Meddahi

Book ID
119294271
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
427 KB
Volume
172
Category
Article
ISSN
0304-4076

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Bootstrapping Realized Volatility
Bootstrapping Realized Volatility
✍ Sílvia Gonçalves; Nour Meddahi 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 264 KB
Modelling and forecasting multivariate r
Modelling and forecasting multivariate realized volatility
✍ Roxana Chiriac; Valeri Voev 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 288 KB

This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for flexible dependence patterns and automatically guarantees positive definiteness of the forecast. We provide an empirical applica

Forecasting exchange rate volatility: a
Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures
✍ David T. L. Siu; John Okunev 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 160 KB

## Abstract Recent studies suggest realized volatility provides forecasts that are as good as option‐implied volatilities, with improvement stemming from the use of high‐frequency data instead of a long‐memory specification. This paper examines whether volatility persistence can be captured by a lo