1) realized volatility
实现波动率
1.
By using intraday high frequency data of Shanghai and Shenzhen stock indices,the paper builds up a realized volatility model and a realized range model based on ABFIMA model and CARR model respectively, which are applied to calculate VaR.
本文利用沪深股指日内高频数据,分别通过ARFIMA模型和CARR模型对实现波动率和较新的实现极差建模,计算风险价值。
2) realized volatility
"已实现"波动率
1.
The periodic analysis of realized volatility in china stock market;
中国股市“已实现”波动率的周期性研究
2.
The paper extends realized volatility based on high-frequency data to realized covariance matrix based on multivariate highfrequency data,to describe volatility and correlation of multivariate.
把基于一维高频数据的“已实现”波动率扩展到多维高频数据情形,给出“已实现”协方差阵,并给出了协方差阵的极限性质,用以刻画多维金融变量的波动率和相关性。
3) Realized Volatility
已实现波动率
1.
An Empirical Research on Jump Behavior of Realized Volatility in Chinese Stock Markets;
中国股市已实现波动率的跳跃行为研究
2.
Therefore,the real volatility can be estimated by the realized volatility based on the highest frequency in Chinese stocks markets.
从修正市场微观结构等干扰因素的角度出发,基于高频交易数据,同时采用一阶偏差修正方法估计了深圳证券交易市场个股的已实现波动率。
3.
While discontinuous jump separated from realized volatility acts as an important element for the yield volatility of short-term interest rate of inter-bank bond market.
银行间债券市场短期利率波动率的估计和预测是利率风险的度量和监控过程中一项极其重要的内容,而从已实现波动率分离出来的离散跳跃是银行间债券市场短期利率波动率的重要成分,对离散跳跃的准确估算有助于金融机构识别和控制风险,提高风险管理水平。
4) Adjusted Realized Volatility
调整"已实现"波动率
1.
The Comparative Research on Volatility Prediction Ability of Adjusted Realized Volatility,GARCH Model and SV Model;
调整"已实现"波动率与GARCH及SV模型对波动的预测能力的比较研究
5) realized volatility model
"已实现"波动率模型
1.
It surveys the characteristic and statistical inference of parametric procedures that focused on ex-ante expected volatility(including discrete and continuous-time models) and nonparametric procedures that focused on ex-post actual volatility(including ARCH filters,smoothers models and realized volatility models).
本文论述了迄今国际文献中关于波动率度量模型的主要理论和实证结果,概括了度量事前预期波动率的参数模型(包括离散模型和连续模型)和度量事后实际波动率的非参数模型(包括ARCH滤波和平滑子模型和“已实现”波动率模型)的特点及统计推断性质,比较了模型之间的优劣之处,展望了波动率度量模型的未来研究趋势。
6) realized volatility and its expansion
"已实现"波动率及其扩展
补充资料：电导率(见电阻率)
电导率(见电阻率)
conductivity
d!日nd日O}已电导率(eonduetivity)见电阻率。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条