Comparison of Volatility Measures: A Risk Management Perspective

By Christian T. Brownlees, Giampiero M. Gallo. 2010

184 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8c59500643238fc688e85fce5c8bf4168cfc7b3c

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Citations in the corpus

Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction (2013, unknown): “t=R φα(rt+1 − (λ0 + λ1q̂1,t + λ2q̂2,t)), (11)”
Modelling changes in the unconditional variance of long stock return series (2012, background): “More recently, Engle and Gonzalo Rangel (2008) and Brownlees and Gallo (2010) applied the same multiplicative decomposition as van Bellegem and von Sachs (2004).”
Forecasting Volatility Using High-Frequency Data (2011, background): “Some work towards an understanding of this is Brownless and Gallo (2010), but there is still much more to investigate.”
Generalized dynamic factor models and volatilities: estimation and forecasting (2017, unknown): “It has been shown by Alizadeh et al. (2002) and Brownlees and Gallo (2010) that theoretically, numerically, and empirically the adjusted intra-daily log rangeis a highly efficient volatility proxy robust to microstructure noise and hence at least equally as good as more sophisticated alternatives…”
NETS: Network estimation for time series (2019, unknown): “However, despite its simplicity a number of contributions have pointed out that the high–low range estimator performs satisfactorily relative to more sophisticated alternatives (Alizadeh, Brandt, and Diebold, 2002; Brownlees and Gallo, 2010).”
Realising the future: forecasting with high frequency based volatility (HEAVY) models (2010, methodology): “25: 197–231 (2010) DOI: 10.1002/jae”
Modelling volatility by variance decomposition (2013, methodology): “For a similar approach using a di¤erent version of splines, see Brownlees and Gallo (2010).”
Frontiers in VaR forecasting and backtesting (2016, background): “…(1998) tests are still the most popular ones both among practitioners and in the academic literature; see, for example, Chan and Gray (2006), Brownlees and Gallo (2010), Pérignon and Smith (2010b), Grigoletto and Lisi (2009, 2011), Zikovic and Aktan (2011), Chen, Gerlach, Hwang and McAleer…”
Exponential GARCH Modeling With Realized Measures of Volatility (2016, unknown): “Additional MEM speciﬁcations have been explored and developed in Cipollini, Engle, and Gallo (2009) and Brownless and Gallo (2010).”
Forecast combinations for value at risk and expected shortfall (2020, methodology): “We take this approach, and follow Brownlees and Gallo (2010) by implementing the HAR model with the realized volatility replaced by the intraday range, as in the following expressions:”
A comprehensive review of Value at Risk methodologies (2014, methodology): “The models based on RV work quite well to estimate VaR (see Asai et al., 2011; Brownlees and Gallo, 2010; Clements et al., 2008; Giot and Laurent, 2004; Andersen et al., 2003).”
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility (2013, methodology): “…models for realized volatility with either parametric or nonparametric estimators of conditional distributions, and the recent contributions by Brownlees & Gallo (2009), Shephard & Sheppard (2009) and Maheu & McCurdy (2010), who base their predictive densities on parametric return-based…”