24-Hour realized volatilities and transatlantic volatility interdependence

DOI10.1080/14697688.2016.1206958zbMath1402.91920OpenAlexW1565884967MaRDI QIDQ4555087

Robert Maderitsch

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1206958

zbMATH Keywords

high-frequency datarealized volatilityHAR-GARCHvolatility interdependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Uses Software

• strucchange

Cites Work

• Forecasting multivariate realized stock market volatility
• The conditional autoregressive Wishart model for multivariate stock market volatility
• On covariance estimation of non-synchronously observed diffusion processes
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Volatility of Realized Volatility
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Modeling and Forecasting Realized Volatility

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