1) realized range-based volatility
已实现极差波动
1.
Comparing research:Realized volatility and realized range-based volatility;
已实现波动和已实现极差波动的比较研究
2.
Weighted Realized Range-based Volatility Based on High-frequency Data and Its Empirical Analysis;
高频数据的加权已实现极差波动及其实证分析
3.
The key points and main achievements are listed as follows: 1)An optimal sampling method is given based on asymptotic distribution of error term between RV(realized volatility),RRV(realized range-based volatility) and IV(integrated volatility),respectively.
本文的主要工作和创新点如下: 1)分别基于已实现波动和已实现极差波动与积分波动之间误差项的渐近分布,给出了一个高频数据抽样方法。
2) Weighted Realized Range-based Volatility
加权已实现极差波动
1.
Weighted Realized Range-based Volatility Based on High-frequency Data and Its Empirical Analysis;
高频数据的加权已实现极差波动及其实证分析
3) realized volatility
"已实现"波动
1.
Characteristics and modeling of adjusted realized volatility for high frequency time series;
高频时间序列的改进“已实现”波动特性与建模
2.
In this paper,through studying the efficiency of the realized bipower variation and the realized multipower variation,which are new methods of volatility estimator,conclusion is draw that in general the realized bipower variation is more efficient than the realized volatility.
近年来,基于金融高频数据的波动率研究成为金融学研究领域的热点,而有效性是衡量波动率估计量优劣的重要标准,本文对波动率估计量的新方法“已实现”双幂次变差和“已实现”多幂次变差的有效性进行了研究,得出“已实现”双幂次变差在一般条件下比“已实现”波动更有效的结论,并且证明了在一定条件下,“已实现”多幂次变差的幂次个数越多,该波动率估计量的有效性越高。
3.
In this paper,we apply realized volatility which is a new volatility estimator based on highfrequency data to the calculation of value at risk.
将基于高频金融数据的“已实现”波动这种波动度量新方法引入到了VaR的计算中,并利用上海股票市场的高频金融数据对上海股票市场的VaR的持续性进行了实证分析,证明上海股票市场的{VaRt}存在持续性。
4) realized volatility
已实现波动
1.
Weighted realized volatility and its long memory and optimal frequency;
赋权已实现波动及其长记忆性,最优频率选择
2.
The Research on Realized Volatility in China Stock Market;
中国股票市场已实现波动研究
3.
The key points and main achievements are listed as follows: 1)An optimal sampling method is given based on asymptotic distribution of error term between RV(realized volatility),RRV(realized range-based volatility) and IV(integrated volatility),respectively.
本文的主要工作和创新点如下: 1)分别基于已实现波动和已实现极差波动与积分波动之间误差项的渐近分布,给出了一个高频数据抽样方法。
5) 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。
6) 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。
补充资料：极差
分子式：
CAS号：
性质： 是一组测量值中最大值与最小值之差，以及表示，R=xmax-xmin。极差只指明了测定值的最大离散范围，而未能利用全部测量值的信息，不能细致地反映测量值彼此相符合的程度，极差是总体标准偏差的有偏估计值，当乘以校正系数之后，可以作为总体标准偏差的无偏估计值，它的优点是计算简单，故在数据统计处理中仍有着相当广泛的应用。
CAS号：
性质： 是一组测量值中最大值与最小值之差，以及表示，R=xmax-xmin。极差只指明了测定值的最大离散范围，而未能利用全部测量值的信息，不能细致地反映测量值彼此相符合的程度，极差是总体标准偏差的有偏估计值，当乘以校正系数之后，可以作为总体标准偏差的无偏估计值，它的优点是计算简单，故在数据统计处理中仍有着相当广泛的应用。
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