Realized Volatility: A Review

By Michael Mcaleer, Marcelo C. Medeiros. 2008

534 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/cbc90b95b2955dd86b1ea681309aec02bb72ca2d

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Citations in the corpus

Forecasting the realized range-based volatility using dynamic model averaging approach (2017, methodology): “Besides aforementioned models, by considering leverage terms related to negative returns (McAleer and Medeiros, 2008), we can construct the model LHAR-RRV-CJ and specify it as: RRV c β RRV β RRVW β RRVM γ r γ r γ r ε = + + + + + + + , t d d t w t m t d d t w w t m m t t +1 ( ) , − , − , − +1…”
MGARCH models: Trade-off between feasibility and flexibility (2018, background): “…the estimation of realized covariances and correlations suffers from asynchronous trading and market microstructure noise, causing the covariance and correlation estimators to be biased and inconsistent; see, for instance, McAleer and Medeiros (2008), Patton (2011) and Corsi and Audrino (2012).”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, background): “Conditions for β-mixing and existence of moments for nonlinear ACD structures have been investigated by Meitz and Saikkonen (2004) for the first order case.”
The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009, unknown): “(iii) Realized volatility is observable, but is subject to measurement error (see McAleer and Medeiros (2008a) for a recent review).”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, result): “This evidence, together with our empirical results reported below, suggests that realized volatility series should be described by models allowing for slowly decaying autocorrelation and possibly long-memory, see Andersen et al. (2003); Banerjee and Urga (2005); McAleer and Medeiros (2008).”
Modeling Realized Covariances and Returns (2013, background): “See Andersen et al. (2003), BarndorffNielsen and Shephard (2004b) and Bandi and Russell (2005b) for the theoretical foundations and Andersen et al. (2009) and McAleer and Medeiros (2008) for surveys of the literature.”
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008, methodology): “McAleer and Medeiros (2007) review these and other methods, and provide a comparison of the alternative methods.”
The information content of high-frequency data for estimating equity return models and forecasting risk (2010, background): “2Recent surveys of the realized volatility literature include Andersen, Bollerslev, and Diebold (2009), Bandi and Russell (2007), Barndorff-Nielsen and Shephard (2007), McAleer and Medeiros (2008).”
Pricing under rough volatility (2015, unknown): “(See for example McAleer and Medeiros[16] and Gatheral and Oomen[14] for more details.”
Rough volatility of Bitcoin (2019, methodology): “These data are used to construct the RV(Andersen and Bollerslev, 1998; BarndorffNielsen and Shephard, 2001; McAleer and Medeiros, 2008) and we use the RV as a proxy of volatility.”
Econophysics: Empirical facts and agent-based models (2009, unknown): “We refer the reader, wishing to go beyond this brief presentation, to the econometrics reviews by Barndorff-Nielsen and Shephard (2007) or McAleer and Medeiros (2008), for example.”
Microstructure Noise, Realized Variance, and Optimal Sampling (2008, methodology): “The recent survey papers by Bandi and Russell (2006c), Barndor¤-Nielsen and Shephard (2006), and McAleer and Medeiros (2006) contain discussions.”
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (2009, background): “( 2006 ) review the rapidly changing literature on multivariate stochastic volatility, while McAleer and Medeiros ( 2008 ) review the extensive literature on realized volatility (see also Maasoumi and McAleer, 2006 ; 2008 , for special issues based on these two important and expanding areas in vol”