{"title":"已实现的半(co)变化:表明所有波动都不是均等的","authors":"Tim Bollerslev","doi":"10.1093/jjfinec/nbab025","DOIUrl":null,"url":null,"abstract":"Abstract I provide a selective review of recent developments in financial econometrics related to measuring, modeling, forecasting, and pricing “good” and “bad” volatilities based on realized variation type measures constructed from high-frequency intraday data. An especially appealing feature of the different measures concerns the ease with which they may be calculated empirically, merely involving cross-products of signed, or thresholded, high-frequency returns. I begin by considering univariate semivariation measures, followed by multivariate semicovariation and semibeta measures, before briefly discussing even richer partial (co)variation measures. I focus my discussion on practical uses of the measures emphasizing what I consider to be the most noteworthy empirical findings to date pertaining to volatility forecasting and asset pricing.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"15 4","pages":"219-252"},"PeriodicalIF":1.8000,"publicationDate":"2021-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal\",\"authors\":\"Tim Bollerslev\",\"doi\":\"10.1093/jjfinec/nbab025\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract I provide a selective review of recent developments in financial econometrics related to measuring, modeling, forecasting, and pricing “good” and “bad” volatilities based on realized variation type measures constructed from high-frequency intraday data. An especially appealing feature of the different measures concerns the ease with which they may be calculated empirically, merely involving cross-products of signed, or thresholded, high-frequency returns. I begin by considering univariate semivariation measures, followed by multivariate semicovariation and semibeta measures, before briefly discussing even richer partial (co)variation measures. I focus my discussion on practical uses of the measures emphasizing what I consider to be the most noteworthy empirical findings to date pertaining to volatility forecasting and asset pricing.\",\"PeriodicalId\":47596,\"journal\":{\"name\":\"Journal of Financial Econometrics\",\"volume\":\"15 4\",\"pages\":\"219-252\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2021-11-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Econometrics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1093/jjfinec/nbab025\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Econometrics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1093/jjfinec/nbab025","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
Abstract I provide a selective review of recent developments in financial econometrics related to measuring, modeling, forecasting, and pricing “good” and “bad” volatilities based on realized variation type measures constructed from high-frequency intraday data. An especially appealing feature of the different measures concerns the ease with which they may be calculated empirically, merely involving cross-products of signed, or thresholded, high-frequency returns. I begin by considering univariate semivariation measures, followed by multivariate semicovariation and semibeta measures, before briefly discussing even richer partial (co)variation measures. I focus my discussion on practical uses of the measures emphasizing what I consider to be the most noteworthy empirical findings to date pertaining to volatility forecasting and asset pricing.
期刊介绍:
"The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."