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题名: Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk
作者: Zheng ZY(郑泽宇) ; Qiao, Zhi ; Takaishi, Tetsuya ; Stanley, H. Eugene ; Li, Baowen
作者部门: 数字工厂研究室
刊名: PLOS ONE
ISSN号: 1932-6203
出版日期: 2014
卷号: 9, 期号:7, 页码:1-10
收录类别: SCI
产权排序: 1
摘要: Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.
语种: 英语
WOS记录号: WOS:000339614100069
WOS标题词: Science & Technology
类目[WOS]: Multidisciplinary Sciences
关键词[WOS]: TESTABLE DISTRIBUTIONAL IMPLICATIONS ; EXCHANGE-RATES ; MODELS ; VARIANCE ; NOISE
研究领域[WOS]: Science & Technology - Other Topics
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内容类型: 期刊论文
URI标识: http://ir.sia.cn/handle/173321/15194
Appears in Collections:数字工厂研究室_期刊论文

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郑泽宇; Qiao, Zhi; Takaishi, Tetsuya; Stanley, H. Eugene; Li, Baowen.Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk,PLOS ONE,2014,9(7):1-10
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文件名: Realized Volatility and Absolute Return Volatility_A Comparison Indicating Market Risk.pdf
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