[go: up one dir, main page]
create a website
The impact of jumps and thin trading on realized hedge ratios. (2013). Henry, Ólan ; Dungey, Mardi ; Hvodzdyk, Lyudmyla .
In: Working Papers.
RePEc:tas:wpaper:16318.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 44

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aït-Sahalia, Y., Jacod, J., 2009. Testing for jumps in a discretely observed process. Annals of Statistics 37, 184-222.
    Paper not yet in RePEc: Add citation now

  2. Andersen, T.G., Bollerslev, T., 1998. Answering the sceptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review 39, 885-905.

  3. Andersen, T.G., Bollerslev, T., Christoersen, P.F., Diebold, F.X., 2006. Volatility and Correlation Forecasting. In: Elliot, G., Granger, C.W.J., Timmermann, A. (Eds.), Handbook of Economic Forecasting. North-Holland, Amsterdam.

  4. Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P., 2003. Modelling and forecasting realized volatility. Econometrica 71, 579-625.

  5. Andersen, T.G., Bollerslev, T., Diebold, F.X., Wu, J., 2005. A framework for exploring the macroeconomic determinants of systematic risk. American Economic Review 95, 398404 Andersen, T.G., Bollerslev, T., Diebold, F.X., 2007. Roughing it up: Including jump components in the measurement, modelling and forecasting of return volatility. The Review of Economics and Statistics 89, 701-720.

  6. Andersen, T.G., Dobrev, D., Schaumburg, E., 2010. Jump-robust volatility estimation using nearest neighbor truncation. Federal Reserve of New York Sta Report 465.
    Paper not yet in RePEc: Add citation now

  7. Baillie, R.T., Myers, R.J., 1991. Bivariate GARCH estimation of the optimal commodity futures hedge. Journal of Applied Econometrics 6, 109-124.

  8. Balduzzi, P., Elton, E.J., Green, T.C., 2001. Economic news and bond prices: Evidence from the U.S. Treasury market. Journal of Financial and Quantitative Analysis 36, 523543.

  9. Bandi, F.M., Russell, J.R., 2006. Separating microstructure noise from volatility. Journal of Financial Economics 79, 655-692.

  10. Barndor-Nielsen, O.E., Shephard, N., 2004. Econometric analysis of realized covariation: High-frequency based covariance, regression and correlation in …nancial economics. Econometrica 72, 885-891.

  11. Blair, B.J., Poon, S.-H., Taylor, S.J., 2001. Forecasting S&P500 volatility: The incremental information content of implied volatilities and high-frequency index returns. Journal of Econometrics 105, 5-26.

  12. Brooks, C., Henry, Ó.T., Persand, G., 2002. The eect of asymmetries on optimal hedge ratios. The Journal of Business 75, 333-352.
    Paper not yet in RePEc: Add citation now

  13. Butterworth, D., Holmes, G., 2001. The hedging eectiveness of stock index futures: Evidence for the FTSE-100 and FTSE-mid 250 indexes traded in the UK. Applied Financial Economics 11, 57-68.

  14. Bystrom, H.N.E., 2003. The hedging performance of electricity futures on the nordic power exchange. Applied Economics 1, 1-11.

  15. Carnero, M.A., Peña, D., Ruiz, E., 2004. Persistence and kurtosis in GARCH and stochastic volatility models. Journal of Financial Econometrics 2, 319-342.

  16. Cechetti, S.G., Cumby, R.E., Figlewski, S., 1988. Estimation of optimal futures hedge. Review of Economics and Statistics 70, 623-630.

  17. Christensen, K., Oomen, R.C.A., Podolskij, M., 2011. Fact or friction: jumps at ultra high frequency. SSRN Paper 1848774.

  18. Dark, J., 2007. Basis convergence and long memory in volatility when dynamic hedging with futures. Journal of Financial and Quantitative Analysis 42, 1021-1040.

  19. Dungey, M., Hvozdyk, L., 2012. Cojumping: Evidence from the US Treasury bond and futures markets. Journal of Banking and Finance 36, 1563–1575.

  20. Dungey, M., McKenzie, M., Smith, L.V., 2009. Empirical evidence on jumps in the term structure of the US Treasury market. Journal of Empirical Finance 16, 430-445.

  21. Ederington, L.H., 1979. The hedging performance of the new futures markets. Journal of Finance 34, 154-170.

  22. Engle, R.F. and K.Kroner, 1995. Multivariate simultaneous generalized ARCH. Econometric Theory 11, 122-150.

  23. Epps, T.W., 1979. Comovements in stock prices in the very short run. Journal of the American Statistical Association 74, 291-298.
    Paper not yet in RePEc: Add citation now

  24. Evans, K.P., 2011. Intraday jumps and US macroeconomic news announcements. Journal of Banking and Finance 35, 2511-2527.

  25. Fleming, M.J., 2003. Measuring Treasury market liquidity. FRBNY Economic Policy Review.

  26. Goeij, P. de, Marquering, W., 2006. Macroeconomic announcements and asymmetric volatility in bond returns. Journal of Banking and Finance 30, 2659-2680.

  27. Harris, R. D. F., Shen, J., Stoja, E., 2010. The limits to minimum-variance hedging. Journal of Business Finance and Accounting 37, 737–761.

  28. Huang, X., Tauchen, G., 2005. The relative contribution of jumps to total price variance. Journal of Financial Econometrics 3, 456-499.

  29. Jacod, J., Todorov, V., 2009. Testing for common arrivals of jumps for discretely observed multidimensional processes. Annals of Statistics 37, 1792-1838.
    Paper not yet in RePEc: Add citation now

  30. Jiang, G., Lo, I., Verdelhan, A., 2010. Information shocks, liquidity shocks, jumps and price discovery: Evidence from the U.S. Treasury market. Journal of Financial and Quantitative Analysis 46, 527-551.

  31. Jiang, G., Yan, S., 2009. Linear-quadratic term structure models – toward the understanding of jumps in interest rates. Journal of Banking and Finance 33, 473–485.

  32. Johannes, M., 2004. The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models. Journal of Finance 59, 227-260.

  33. Kroner, K. F., Sultan, J., 1993. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28, 535-551.

  34. Lahaye, J., Laurent, S., Neely, C., 2011. Jumps, cojumps and macro announcements. Journal of Applied Econometrics 26, 893-921.

  35. Lai, Y.-S., Sheu, H.-J., 2010. The incremental value of a futures hedge using realized volatility. Journal of Futures Markets 30, 874-896.
    Paper not yet in RePEc: Add citation now

  36. Lee, S.S., Mykland, P.A., 2008. Jumps in …nancial markets: A new nonparametric test and jump dynamics. Review of Financial Studies 21, 2535-2563.

  37. McMillan, D. G., Garcia, R.Q., 2010. Realized hedge ratio properties, performance and implications for risk management: evidence from the Spanish IBEX 35 spot and futures markets. Journal of Risk 12, 33–48.
    Paper not yet in RePEc: Add citation now

  38. Mizrach, B., Neely, C., 2008. Information shares in the US Treasury market. Journal of Banking and Finance 32, 1221-1233.

  39. Park, T.H., Switzer, L.N., 1995. Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. Journal of Futures Markets 15, 61-67.

  40. Piazzesi, M., 2003. Bond yields and the Federal Reserve. Journal of Political Economy 113, 311-344.
    Paper not yet in RePEc: Add citation now
  41. Strong, R.A., Dickinson, A., 1994. Forecasting better hedge ratios. Financial Analysts Journal 50, 70-72.
    Paper not yet in RePEc: Add citation now

  42. Todorov, V., Tauchen, G., 2011. Volatility jumps. Journal of Business and Economic Statistics 29, 356-371.

  43. Unconditional Density of Realised Beta 9 Jan 2002 to 2 Nov 2005 5 minute sampling frequency -0.5 0.0 0.5 1.0 1.5 2.0 0.0 1.0 2.0 3.0 4.0 30 minute sampling frequency -0.5 0.0 0.5 1.0 1.5 2.0 0.0 1.0 2.0 3.0 4.0 60 minute sampling frequency -0.5 0.0 0.5 1.0 1.5 2.0
    Paper not yet in RePEc: Add citation now

  44. Veraart, A.E.D., 2010. Inference for the jump part of quadratic variation of Itô semimartingales. Econometric Theory 26, 331-368.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Papers.
    RePEc:arx:papers:1912.07165.

    Full description at Econpapers || Download paper

  2. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

    Full description at Econpapers || Download paper

  3. A comparison of implied and realized volatility in the Nordic power forward market. (2015). Molnár, Peter ; Haugom, Erik ; Westgaard, Sjur ; Molnar, Peter ; Birkelund, Ole Henrik ; Opdal, Martin .
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:288-294.

    Full description at Econpapers || Download paper

  4. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1202.1854.

    Full description at Econpapers || Download paper

  5. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Fusari, Nicola ; Todorov, Viktor.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18046.

    Full description at Econpapers || Download paper

  6. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Aijun .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:618-626.

    Full description at Econpapers || Download paper

  7. A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices volatility forecasting models. (2012). Xu, Bing ; Ouenniche, Jamal.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:576-583.

    Full description at Econpapers || Download paper

  8. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:10:y:2010:p:5-14.

    Full description at Econpapers || Download paper

  9. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

  10. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124:10.1007/s11294-008-9134-2.

    Full description at Econpapers || Download paper

  11. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

    Full description at Econpapers || Download paper

  12. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2007_04.

    Full description at Econpapers || Download paper

  13. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0095.

    Full description at Econpapers || Download paper

  14. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

    Full description at Econpapers || Download paper

  15. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-42.

    Full description at Econpapers || Download paper

  16. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

    Full description at Econpapers || Download paper

  17. Asymmetry, Loss Aversion and Forecasting. (2004). Bond, Shaun A. ; Satchell, Stephen E..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:160.

    Full description at Econpapers || Download paper

  18. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

    Full description at Econpapers || Download paper

  19. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

    Full description at Econpapers || Download paper

  20. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Rubio, Javier Giner ; Marrero, Sandra Morini.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2004-10.

    Full description at Econpapers || Download paper

  21. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

    Full description at Econpapers || Download paper

  22. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
    In: Working Papers.
    RePEc:bro:econwp:2003-01.

    Full description at Econpapers || Download paper

  23. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

  24. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-21.

    Full description at Econpapers || Download paper

  25. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-20.

    Full description at Econpapers || Download paper

  26. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics. (2002). Neely, Christopher ; Weller, Paul A..
    In: Review.
    RePEc:fip:fedlrv:y:2002:i:may:p:43-54:n:v.84no.3.

    Full description at Econpapers || Download paper

  27. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

    Full description at Econpapers || Download paper

  28. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-92.

    Full description at Econpapers || Download paper

  29. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-91.

    Full description at Econpapers || Download paper

  30. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-90.

    Full description at Econpapers || Download paper

  31. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-63.

    Full description at Econpapers || Download paper

  32. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

  33. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:0202.

    Full description at Econpapers || Download paper

  34. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

  35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

    Full description at Econpapers || Download paper

  36. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
    In: Working Papers.
    RePEc:fip:fedlwp:2001-009.

    Full description at Econpapers || Download paper

  37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2711.

    Full description at Econpapers || Download paper

  38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

    Full description at Econpapers || Download paper

  39. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

    Full description at Econpapers || Download paper

  40. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-42.

    Full description at Econpapers || Download paper

  41. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-06.

    Full description at Econpapers || Download paper

  42. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

    Full description at Econpapers || Download paper

  43. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7488.

    Full description at Econpapers || Download paper

  44. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

    Full description at Econpapers || Download paper

  45. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

    Full description at Econpapers || Download paper

  46. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-29.

    Full description at Econpapers || Download paper

  47. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

    Full description at Econpapers || Download paper

  48. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-061.

    Full description at Econpapers || Download paper

  49. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-060.

    Full description at Econpapers || Download paper

  50. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 08:07:56 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.