Realising the future : forecasting with high frequency based volatility (HEAVY) models.

Realising the future : forecasting with high frequency based volatility (HEAVY) models.

This paper studies in some detail a class of high frequency based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data. Our analysis identifies that the models have momentum and mean reversion eff...

Bibliográfalaš dieđut
Váldodahkkit:	Shephard, N, Sheppard, K
Materiálatiipa:	Working paper
Giella:	English
Almmustuhtton:	Department of Economics (University of Oxford) 2009

Geahča maid

Multivariate High-Frequency-Based Volatility (HEAVY) Models.
Dahkki: Noureldin, D, et al.
Almmustuhtton: (2011)

Multivariate High-Frequency-Based Volatility (HEAVY) Models.
Dahkki: Noureldin, D, et al.
Almmustuhtton: (2011)

Multivariate high-frequency-based volatility (HEAVY) models
Dahkki: Noureldin, D, et al.
Almmustuhtton: (2011)

Factor high-frequency based volatility (HEAVY) models
Dahkki: Sheppard, K, et al.
Almmustuhtton: (2014)

Realised power variation and stochastic volatility models
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)

Realised power variation and stochastic volatility models.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
Dahkki: Shephard, N, et al.
Almmustuhtton: (2001)

Optimal combinations of realised volatility estimators.
Dahkki: Patton, A, et al.
Almmustuhtton: (2009)

Estimating quadratic variation using realised volatility.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

How accurate is the asymptotic approximation to the distribution of realised volatility?
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Measuring and forecasting financial variability using realised variance.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Measuring and forecasting financial variability using realised variance with and without a model.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2002)

Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
Dahkki: Ng, K.H., et al.
Almmustuhtton: (2017)

Subsampling realised kernels
Dahkki: Shephard, N, et al.
Almmustuhtton: (2011)

Subsampling realised kernels
Dahkki: Shephard, N, et al.
Almmustuhtton: (2006)

Subsampling realised kernels.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2011)

Subsampling realised kernels.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2006)

Realised volatility and industry momentum returns
Dahkki: Xiaoyue Chen, et al.
Almmustuhtton: (2022-08-01)

Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
Dahkki: Tan, Shay Kee, et al.
Almmustuhtton: (2019)

Evaluating Volatility and Correlation Forecasts.
Dahkki: Patton, A, et al.
Almmustuhtton: (2007)

Measuring downside risk-realised semivariance.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2008)

Measuring downside risk - realised semivariance
Dahkki: Shephard, N, et al.
Almmustuhtton: (2008)

Measuring down-side risk-realised semivariance.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2008)

How Accurate Is the Asymptotic Approximation to the Distribution of Realised Variance?
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2005)

Implied volatility as an estimator or realised volatility an investigation using OTC currency options
Dahkki: Chew, Chung Han., et al.
Almmustuhtton: (2008)

Time series forecasting of volatility using high frequency data
Dahkki: Tan, Hai Kang, et al.
Almmustuhtton: (2008)

Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
Dahkki: Dilip Kumar
Almmustuhtton: (2017-12-01)

Analysis of High Dimensional Multivariate Stochastic Volatility Models.
Dahkki: Chib, S, et al.
Almmustuhtton: (2006)

Analysis of high dimensional multivariate stochastic volatility models
Dahkki: Chib, S, et al.
Almmustuhtton: (2006)

Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component
Dahkki: Manish Kumar
Almmustuhtton: (2010-06-01)

Exploring constraints on the realised value of a forecast-based climate service
Dahkki: Edward C.D. Pope, et al.
Almmustuhtton: (2019-08-01)

Volatility Forecasting for High-Frequency Financial Data Based on Web Search Index and Deep Learning Model
Dahkki: Bolin Lei, et al.
Almmustuhtton: (2021-02-01)

High-frequency volatility combine forecast evaluations: An empirical study for DAX
Dahkki: Wen Cheong Chin, et al.
Almmustuhtton: (2017-01-01)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2005)

Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2006)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)