The Volatility of Realized Volatility

By Fulvio Corsi, Stefan Mittnik, Christian Pigorsch, Uta Pigorsch. 2005

435 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8b8c9d7a31bbb4ae7ae60ba0c64a58819d0f454f

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Citations in the corpus

Realized Volatility: A Review (2008, background): “( 2008 ) focused on the volatility of the realized volatility.”
HAR Modeling for Realized Volatility Forecasting (2012, positive): “To account for the observed volatility clustering in realized volatility [37] extend the HAR model by explicitly modelling the volatility of realized volatility.”
Forecasting Volatility Using High-Frequency Data (2011, background): “Among their reduced form equations they have (6) applied to the logarithmic bipower variation, and as Corsi et al. (2008) they allow for time-varying volatility in a GARCH style fashion.”
Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models (2018, methodology): “Meanwhile, ∑22 j=0 φ j(τ)z j , 1 for all |z| ≤ 1+ c with c > 0 uniformly in τ ∈ [0, 1], whereφ j(∙) is defined on the right hand side of (12).”
A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects (2009, positive): “This literature dates back to the early work of Merton (1976), with more recent contributions allowing for both jumps and time-varying stochastic volatility including Andersen et al.”
Quantile forecasts of daily exchange rate returns from forecasts of realized volatility (2008, neutral): “We use the simpler formulation, but note that the ndings of Corsi et al. (2005) suggest that this may be inferior to using the NIG distribution.”
Multivariate High-Frequency-Based Volatility (HEAVY) Models (2012, methodology): “Cox (1961) proposes a likelihood ratio test based on this idea, while Vuong (1989) provides the theoretical framework in the case of nested and non-nested models.”
Volatility Transmission in Emerging European Foreign Exchange Markets (2011, methodology): “While the idea is not new (Corsi et al., 2008), recent findings that a univariate HAR-GARCH model fits very well the realized variances of the CE exchange rates (Bubák and Žikeš, 2009) drives our motivation for generalizing the model with an MGARCH structure.”