About: PERFORMANCE OF HETEROGENEOUS AUTOREGRESSIVE MODELS OF REALIZED VOLATILITY: EVIDENCE FROM U.S. STOCK MARKET

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of heterogeneous autoregressive models of realized volatility on stock indices in the USA with a special aim to analyze an impact of the global financial crisis on applied models forecasting performance. We use three data sets, the first one from the period before the global financial crisis occurred in the years 2006-2007, the second one from the period when the global financial crisis fully hit the U.S. financial market in 2008-2009 years, and the last period was defined over 2010-2011 years. The model output indicates that estimated realized volatility in the market is very much determined by daily traders and in some cases excludes the impact of those market participants who trade on monthly basis. This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of heterogeneous autoregressive models of realized volatility on stock indices in the USA with a special aim to analyze an impact of the global financial crisis on applied models forecasting performance. We use three data sets, the first one from the period before the global financial crisis occurred in the years 2006-2007, the second one from the period when the global financial crisis fully hit the U.S. financial market in 2008-2009 years, and the last period was defined over 2010-2011 years. The model output indicates that estimated realized volatility in the market is very much determined by daily traders and in some cases excludes the impact of those market participants who trade on monthly basis. (en)
Title	PERFORMANCE OF HETEROGENEOUS AUTOREGRESSIVE MODELS OF REALIZED VOLATILITY: EVIDENCE FROM U.S. STOCK MARKET PERFORMANCE OF HETEROGENEOUS AUTOREGRESSIVE MODELS OF REALIZED VOLATILITY: EVIDENCE FROM U.S. STOCK MARKET (en)
skos:prefLabel	PERFORMANCE OF HETEROGENEOUS AUTOREGRESSIVE MODELS OF REALIZED VOLATILITY: EVIDENCE FROM U.S. STOCK MARKET PERFORMANCE OF HETEROGENEOUS AUTOREGRESSIVE MODELS OF REALIZED VOLATILITY: EVIDENCE FROM U.S. STOCK MARKET (en)
skos:notation	RIV/61989100:27510/12:86082820!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	prosinec
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Seďa, Petr
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	158206
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86082820
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	global financial crisis, heterogeneous autoregressive model, in-sample forecast, realized volatility, U.S. stock market (en)
http://linked.open.../riv/klicoveSlovo	global financial crisis in-sample forecast realized volatility U.S. stock market heterogeneous autoregressive model
http://linked.open...odStatuVydavatele	GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV	[FBDFBE81F782]
http://linked.open...i/riv/nazevZdroje	World Academy of Science, Engineering and Technology
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	72
http://linked.open...iv/tvurceVysledku	Seďa, Petr
issn	2010-376X
number of pages	7 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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