Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 6 of 6 for “"Realised volatility"”.
-
Realised volatility estimators
This dissertation is an investigation into realised volatility (RV) estimators. Here, RV is defined as the sum-of-squared-returns (SSR) and is a proxy for integrated volatility (IV), which is unobservable. The study focuses on a subset of the universe of RV estimators. We examine three categories …
-
Essays in Global Commodity Prices and Realised Volatility
… 2) focuses on the ability to forecast the daily Realised Volatility of the Bloomberg Commodity Index Excess return (BCOM) using an Heterogeneous Autoregressive model (HAR) and competing models that include an Implied Volatility (IV) measure either from the Commodity or US Stock Market. The former …
-
Quantile-based methods for prediction, risk measurement and inference
… the construction of prediction intervals for realised volatility exploiting an alternative volatility estimator based on the difference of two extreme quantiles. The proposed approach makes use of AR-GARCH procedure in order to model time series of intraday quantiles and forecast intraday …
-
An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure
… of energy futures contracts by modelling the realised volatility with consideration of high- and low-volatility regimes. The in-sample results support that volatility of TOCOM energy futures is regime-dependent, while the results of out-of-sample are mixed. Next, we set up a framework to …
-
INVESTOR ATTENTION AND SENTIMENT
… In the US, for example, trading volume (realised volatility) during Olympics is over 24% (46%) lower than usual while gold medal awards lead to a further decrease over the next trading day. These findings are in line with recent theories and evidence related to investor inattention but …
-
Essays on the applications of distributional scaling in finance: Estimation, forecasting and inference
… periods and during periods of high return volatility. However, as expected the performance of the method is stronger for return series with distributional scaling properties close to the unifractal scaling required by the method and poorer, though still competitive, for time series that …