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On the dependence structure of realized volatilities

✍ Scribed by Beatriz Vaz de Melo Mendes; Victor Bello Accioly

Book ID
116577483
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
835 KB
Volume
22
Category
Article
ISSN
1057-5219

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πŸ“œ SIMILAR VOLUMES

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## Abstract The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at‐the‐money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both

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## Abstract Five‐minute returns from FTSE‐100 index futures contracts are used to obtain accurate estimates of daily index volatility from January 1986 to December 1998. These realized volatility measures are used to obtain inferences about the distributional and autocorrelation properties of FTSE‐