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March 15, 2012

Eduardo Rossi
Volatility measures: theory and applications
Course outline (16 hours, 4 days) First Day 1. 2. 3. 4. Volatility definitions Continuous and discrete time volatility models Non parametric measurements: Realized variance and realized range Applications

Second Day 1. 2. 3. 4. Jumps in prices: parametric models Disentangling the effects of jumps from measures of volatility Multipower measures Applications

Third Day Estimating volatility in the presence of m arket microstructure noise 1. Multi-scale realized volatility 2. Realized kernel estimators 3. Pre-averaging 4. Applications

Fourth Day 1. 2. 3. 4. Modeling realized measures Forecasting evaluation Multivariate realized measures Applications


Textbooks
Andersen T.G. , R. A. Davis, J-P. Kreiss, and T. Mikosch (eds) (2009) Handbook of Financial Time Series, Springer-Verlag. Jondeau E., Poon S. and M. Rockinger (2007) Financial Modeling Under Non-Gaussian Distributions, Springer-Verlag. Taylor S. (2005) Asset price dynamics, volatility, and prediction Princenton University Press.

References
Andersen, T. G., Bollerslev, T., and Diebold, F. X. (2009): "Parametric and nonparametric volatility measurement," in Ait-Sahalia, Y. and Hansen, L. P., editors, Handbook of Financial Econometrics, volume 1, chapter 2. Elsevier/North-Holland. Andersen, T. G., T. Bollerslev, F. X. Diebold, and H. Ebens (2001): "The Distribution of Stock Return Volatility," Journal of Financial Economics, 61, 43­76. Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys (2001): "The Distribution of Exchange Rate Volatility," Journal of the American Statistical Association , 96, 42­55. Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys (2003): "Modeling and Forecasting Realized Volatility," Econometrica, 71, 579­625. Bandi, F. and Russell, J. R. (2008): "Microstructure noise, realized volatility, and optimal sampling," Review of Economic Studies, 75:339­369. Barndorff-Nielsen, O., and N. Shephard (2002a): "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of Royal Statistical Society. Series B, 64, 253­280. Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2008): "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, 76, 1481­1536. Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2009): "Realized kernels in practice: trades and quotes," Econometrics Journal, 2009, 1­32. Barndorff-Nielsen, O. E., and N. Shephard (2002b): "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, 17(5), 457­477. Barndorff-Nielsen, O. E., and N. Shephard (2007): "Variation, Jumps, and High-Frequency Data in Financial Econometrics," in R. Blundell, W.K. Newey, and T. Persson Advances in Economics and Econometrics. Theory and Applications, Volume III. Cambridge University Press. Bollerslev, T., Kretschmer, U., Pigorsch, C., and Tauchen, G. E. (2009): "A discrete-time model for daily S&P 500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, 150:151­166. Corsi, F. (2009): "A simple approximate long-memory model of realized volatility," Journal of Financial Econometrics, 7, 174­196. Corsi, F., and R. Reno (2010): "Discrete-time Volatility Forecasting with Persistent Leverage Effect and the Link with Continuous-time VolatilityModeling," Discussion paper, SSRN.


Martens, M., D. Van Dijk, and M. De Pooter (2009): "Forecasting S&P 500 Volatility: Long Memory, Level Shifts, Leverage Effects, Day-of-the-Week Seasonality, and Macroeconomic Announcements," International Journal of Forecasting, 25, 282­303. McAleer, M., and M. Medeiros (2008): "Realized Volatility: a review," Econometric Reviews, 27(1-3), 10­45. Meddahi, N. (2002): "A Theoretical Comparison Between Integrated and Realized Volatility," Journal of Applied Econometrics, 2002, 17, 475-508., 17, 475­508. Rogers, L., and S. Satchell (1991): "Estimating variance from high, low and closing prices," Annals of Applied Probability, 1, 504­512. Rossi, E., and P. Santucci de Magistris (2009): "Long Memory and Tail dependence in Trading Volume and Volatility," Discussion paper, CREATES. Rossi, E., and P. Santucci de Magistris (2011): "A no-arbitrage fractional cointegration model for futures and spot daily ranges" Journal of Futures Markets, forthcoming. Rossi, E., and F. Spazzini (2009): "Finite sample results of range-based integrated volatility estimation," Discussion PaperWP-CEA-4-2009, Center for Econometric Analysis, Cass Business School.