Nonlinear Features of Realized FX Volatility

By John M. Maheu, Thomas H. McCurdy. Review of Economics and Statistics, 2002

132 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6b57998e179d10a3a32192fb6a490100f08df7f6

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Citations in the corpus

The Volatility of Realized Volatility (2005, methodology): “…Shephard, 2004b).2 Given the high liquidity of the S&P 500 index futures market, we follow Andersen and Bollerslev (1998), Andersen et al. (2001b), Maheu and McCurdy (2002), and Martens et al. (2004), among others, and use five-minute returns to construct our realized-variance and quarticity…”
Realized Variance and Market Microstructure Noise (2006, unknown): “…several authors have applied filtering and smoothing techniques to time series of theRV to obtain time series for daily volatility, see e.g. Maheu & McCurdy (2002), Barndorff-Nielsen, Nielsen, Shephard & Ysusi (1996), Engle & Sun (2005), Frijns & Lehnert (2004), Koopman, Jungbacker & Hol…”
Forecasting Volatility Using High-Frequency Data (2011, background): “Maheu and McCurdy (2002) develop a Markov switching model for the integrated variance which they apply to ten years of realized variances for DM/$ exchange rates.”
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (2013, unknown): “For instance, Maheu and McCurdy (2002) estimated an ARMA(1,1) model with a daily time series of the realized variance for an exchange rate, and they reported π = 0.9.”
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data (2005, unknown): “3 This estimator has previously been applied by Hansen & Lunde (2005b), and a similar estimator, δ̃ ≡ ( ∑n t=1 r 2 2,t + ∑n t=1 r 2 1,t)/ ∑n t=1 r 2 2,t , was concurrently suggested by Martens (2002) and Koopman et al.”
Moving Average-Based Estimators of Integrated Variance (2008, unknown): “This has been its primary use in the literature, for example in Andersen et al. (2001) and Maheu and McCurdy (2002).”
Realized Volatility: A Review (2008, methodology): “For example, in Bollen and Inder (2002), an autoregressive (AR) filter was used, while a moving average (MA) filter was considered in Ebens (1999), Maheu and McCurdy (2002), and Andersen et al. (2001a).”
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements (2009, unknown): “Maheu and McCurdy (2002) use a regime-switching model for the DM/$ exchange rate, but do not consider any other nonlinearities or long memory and only forecast one-day-ahead.”