An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach

DOI10.1080/02664763.2010.505947zbMath1217.91213OpenAlexW2012811676MaRDI QIDQ3019487

Isao Shoji, Katsuyuki Takahashi

Publication date: 28 July 2011

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2010.505947

zbMATH Keywords

high-frequency datastock indexvolatility functionnon-parametric estimationlocal polynomial model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Uses Software

• KernSmooth

Cites Work

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• Post-'87 crash fears in the S\&P 500 futures option market
• A Theory of the Term Structure of Interest Rates
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• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns

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