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Forecasting realized volatility: A review

Title
Forecasting realized volatility: A review
Authors
Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2018
Journal Title
Journal of the Korean Statistical Society
ISSN
1226-3192JCR Link
Citation
Journal of the Korean Statistical Society vol. 47, no. 4, pp. 395 - 404
Keywords
AsymmetryHAR modelLong-memoryMarket microstructure noiseRealized covarianceRealized variance
Publisher
Korean Statistical Society
Indexed
SCIE; SCOPUS; KCI WOS scopus
Document Type
Review
Abstract
Forecast methods for realized volatilities are reviewed. Basic theoretical and empirical features of realized volatilities as well as versions of estimators of realized volatility are briefly investigated. Major forecast models featuring the empirical aspects of persistency and asymmetry are discussed in terms of forecasting models for which the heterogeneous autoregressive (HAR) model is one of the most basic one in the recent literature. Forecast methods addressing the issues of jump, break, implied volatility, and market microstructure noise are reviewed. Forecasting realized covariance matrix is also considered. © 2018 The Korean Statistical Society
DOI
10.1016/j.jkss.2018.08.002
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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