Heterogenous market hypothesis evaluation using multipower variation volatility

DOI10.1080/03610918.2016.1208234zbMath1458.62238OpenAlexW2510652592MaRDI QIDQ4638847

Pei Pei Tan, Wen Cheong Chin, Min Cherng Lee

Publication date: 30 April 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1208234

zbMATH Keywords

value-at-riskrealized volatilityheterogenous autoregressive modelsheterogenous market hypothesis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Uses Software

• CAViaR

Cites Work

• Unnamed Item
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• The Volatility of Realized Volatility
• The Distribution of Realized Exchange Rate Volatility
• Modeling and Forecasting Realized Volatility
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns

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