The DOI matches its Crossref record; 51 of the 51 references it cites were found in a registry or an index.
Realized Volatility: A Review
Abstract
This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification provides the theoretical foundation for the main results in this literature. Cases with and without microstructure noise are considered, and it is shown how microstructure noise can cause severe problems in terms of consistent estimation of the daily realized volatility. Independent and dependent noise processes are examined. The most important methods for providing consistent estimators are presented, and a critical exposition of different techniques is given. The finite sample properties are discussed in comparison with their asymptotic properties. A multivariate model is presented to discuss estimation of the realized covariances. Various issues relating to modelling and forecasting realized volatilities are considered. The main empirical findings using univariate and multivariate methods are summarized.
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Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
Modeling and Forecasting Realized Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003) · Econometrica · doi:10.1111/1468-0262.00418 · Cited by 3,863
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
On estimating the expected return on the market
Merton, R. C. (1980) · Journal of Financial Economics · doi:10.1016/0304-405x(80)90007-0 · Cited by 2,806
Risk measurement when shares are subject to infrequent trading
Dimson, E. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90013-8 · Cited by 2,754
Estimating betas from nonsynchronous data
Scholes, M., & Williams, J. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90041-1 · Cited by 2,743
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
Bollerslev, T. (1987) · The Review of Economics and Statistics · doi:10.2307/1925546 · Cited by 2,565
Cited by
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.4.701 · Cited by 1,445
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, F., Pirino, D., & Renò, R. (2010) · Journal of Econometrics · doi:10.1016/j.jeconom.2010.07.008 · Cited by 561
Forecasting oil price realized volatility using information channels from other asset classes
Degiannakis, S., & Filis, G. (2017) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2017.05.006 · Cited by 284
Metadata
- Authors
- McAleer, M., & Medeiros, M. C.
- Venue
- Econometric Reviews
- Publisher
- Informa UK Limited
- Published
- 2008-02-19
- Volume
- 27
- Issue
- 1-3
- Pages
- 10-45
- ISSN
- 0747-4938 (ISSN-L)
- 1532-4168
- OpenAlex
- W1564650095
- Cited by
- 516
- References
- 51
- FWCI
- 67.07
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
