The distribution of realized stock return volatility

By Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Heiko Ebens. 2001

2,222 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4d94e5eea35e01f529ca364dff52730535cd745b

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Citations in the corpus

HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS? (2017, neutral): “Since aggregate stock return volatility is positively skewed and leptokurtic, researchers often use the logarithm of realized volatility [see Andersen et al. (2001)].”
Garch forecasting performance under different distribution assumptions (2006, methodology): “In previous studies, 5-minute returns have often been used, for example, by Andersen and Bollerslev (1997) for the foreign exchange market and by Andersen et al. (2001) with stock market returns.”
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (2010, neutral): “…and empirically, that realized volatility may be measured with 3 good precision at the daily level from intraday price data (see, e.g., Andersen et al. (2001, 2003b) and Barndorff-Nielsen and Shephard (2002b, 2004)).1 These measures provide direct data-driven estimates of the…”
Can Internet search queries help to predict stock market volatility (2016, neutral): “We therefore resort to the log of the realized volatility as, amongst others, suggested by Andersen, Bollerslev, Diebold and Ebens (2001) and Andersen et al. (2003).”
On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach (2004, result): “For the volatility, the implied log-normality is consistent with the recent empirical findings of Andersen et al. (2001).”
Asset pricing and ambiguity: Empirical evidence (2018, positive): “The decision to compute returns using five-minute intervals is motivated by Andersen et al. (2001), who show that this time interval is sufficient to minimize microstructure effects. For each day there are between 33 and 78 observations. We use these observations to compute the normalized (by the nu”
Investor sentiment aligned: : A powerful predictor of stock returns (2015, background): “12 Because stock market volatility is highly persistent, we, following Andersen et al. (2001) and Paye (2012), include lagged volatility LVOLt as a control variable in Equation (27) to examine the incremental forecasting power of investor sentiment for aggregate stock market volatility.”
Realised quantile-based estimation of the integrated variance (2010, methodology): “Realised variance, defined as the sum of squared intra-period returns, has been a key driver in this literature (e.g. Andersen et al., 2001; Barndorff-Nielsen and Shephard, 2002) as it provides a simple yet highly efficient way to consistently estimate the quadratic variation of a price process.”
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market (2008, background): “kk +1 , x 2 R ( 2 ) where kk is the k-th diagonal element in the matrix .”
Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon (2006, background): “where IV 2,idio i,t is the estimate of a firm i’s idiosyncratic variance at time t, IV 2 i,t is firm i’s standardized implied variance, βi is firm i’s market beta estimated from (1), and V IX2 t is the standardized implied variance of the S&P 100.”
Speculators, Prices and Market Volatility (2016, methodology): “(2008) kernel estimator and the Andersen et al. (2001) low frequency sampling approach yield qualitatively similar results.”
A comprehensive review of Value at Risk methodologies (2014, methodology): “With respect to the latter point, the autoregressive fractionally integrated model has been used by Andersen et al. (2001a, 2001b, 2003), Koopman et al. (2005), Pong et al. (2004), among others. a) Empirical results of volatility models in VaR This section lists the results obtained from research…”