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Pregled bibliografske jedinice broj: 937196

Comparison of range-based volatility estimators against integrated volatility in European emerging markets

Arnerić, Josip; Matković, Mario; Sorić, Petar
Comparison of range-based volatility estimators against integrated volatility in European emerging markets // Finance Research Letters, 28 (2019), 118-124 doi:10.1016/j.frl.2018.04.013 (međunarodna recenzija, članak, znanstveni)

CROSBI ID: 937196 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
Comparison of range-based volatility estimators against integrated volatility in European emerging markets

Autori
Arnerić, Josip ; Matković, Mario ; Sorić, Petar

Izvornik
Finance Research Letters (1544-6123) 28 (2019); 118-124

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Integrated volatility ; Realized variance ; OHLC estimator ; Loss function ; Upper tail dependence ; Emerging market

Sažetak
This paper explores the effectiveness of eight range-based volatility estimators for seven European emerging markets. It offers added value by: (i) finding a consistent and asymptotically unbiased estimator of integrated volatility for emerging markets, (ii) employing the upper tail dependence for comparison purposes, in addition to standard loss functions, and (iii) recommending the appropriate ex-post volatility measure in the lack of high-frequency data. When no strong preference for a specific estimator is found, the upper tail dependence measure is consulted, confirming the MSE-based ranking for Czech Republic, Greece, Poland, and Romania ; and the QLIKE-based ranking for Bulgaria, Croatia, and Hungary.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA

Projekti:
HRZZ-UIP-2013-11-5199 - Mjerenje, modliranje i prognoziranje volatilnosti (Volatility) (Arnerić, Josip, HRZZ - 2013-11) ( CroRIS)

Ustanove:
Ekonomski fakultet, Zagreb

Profili:

Avatar Url Petar Sorić (autor)

Avatar Url Josip Arnerić (autor)

Poveznice na cjeloviti tekst rada:

doi authors.elsevier.com www.sciencedirect.com

Citiraj ovu publikaciju:

Arnerić, Josip; Matković, Mario; Sorić, Petar
Comparison of range-based volatility estimators against integrated volatility in European emerging markets // Finance Research Letters, 28 (2019), 118-124 doi:10.1016/j.frl.2018.04.013 (međunarodna recenzija, članak, znanstveni)
Arnerić, J., Matković, M. & Sorić, P. (2019) Comparison of range-based volatility estimators against integrated volatility in European emerging markets. Finance Research Letters, 28, 118-124 doi:10.1016/j.frl.2018.04.013.
@article{article, author = {Arneri\'{c}, Josip and Matkovi\'{c}, Mario and Sori\'{c}, Petar}, year = {2019}, pages = {118-124}, DOI = {10.1016/j.frl.2018.04.013}, keywords = {Integrated volatility, Realized variance, OHLC estimator, Loss function, Upper tail dependence, Emerging market}, journal = {Finance Research Letters}, doi = {10.1016/j.frl.2018.04.013}, volume = {28}, issn = {1544-6123}, title = {Comparison of range-based volatility estimators against integrated volatility in European emerging markets}, keyword = {Integrated volatility, Realized variance, OHLC estimator, Loss function, Upper tail dependence, Emerging market} }
@article{article, author = {Arneri\'{c}, Josip and Matkovi\'{c}, Mario and Sori\'{c}, Petar}, year = {2019}, pages = {118-124}, DOI = {10.1016/j.frl.2018.04.013}, keywords = {Integrated volatility, Realized variance, OHLC estimator, Loss function, Upper tail dependence, Emerging market}, journal = {Finance Research Letters}, doi = {10.1016/j.frl.2018.04.013}, volume = {28}, issn = {1544-6123}, title = {Comparison of range-based volatility estimators against integrated volatility in European emerging markets}, keyword = {Integrated volatility, Realized variance, OHLC estimator, Loss function, Upper tail dependence, Emerging market} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Social Science Citation Index (SSCI)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

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