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ArticleRealized volatility in the futures markets

Dimitrios D. Thomakos2003

Article2003

Realized volatility in the futures markets

Dimitrios D. Thomakos · Tao Wang

133 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1987Expected stock returns and volatility 1993Measuring and Testing the Impact of News on Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1980On estimating the expected return on the market

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2013Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 2010Detecting instability in the volatility of carbon prices 2015Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 2009Realized Volatility 2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 2007Realized Volatility and Correlation in Energy Futures Markets

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Year2003

Typearticle

Published2003-04-23

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations133

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0927-5398(02)00052-x

openalex_workW1985198035

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2002Parametric and Nonparametric Volatility Measurement

2007The Samuelson hypothesis in futures markets: An analysis using intraday data