A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the factor based approach is of significant potential interest and novelty. (C) 2013 Elsevier B.V. All rights reserved.


A data mining application to deposit pricing: Main determinants and prediction models
Batmaz, İnci; Danışoğlu, Seza (2017-11-01)
This study provides unique empirical evidence regarding the determinants of deposit pricing by employing data mining methods and making use of proprietary data provided by a commercial bank. Results highlight the importance of taking into account customer- and account-specific characteristics in the determination of deposit rates. Contrary to existing evidence obtained from macro-level bank data, the customer- level data used in this study suggest that depositors with a multi-faceted and long-term relations...
YILMAZ, BİLGİ; Kestel, Sevtap Ayşe (2018-12-01)
This study aims to estimate the price changes in housing markets using a stochastic process, which is defined in the form of stochastic differential equations (SDEs). It proposes a general SDEs system on the price structure in terms of house price index and mortgage rate to establish an effective process. As an empirical analysis, it applies a calibration procedure to an SDE on monthly S&P/Case-Shiller US National Home Price Index (HPI) and 30-year fixed mortgage rate to estimate parameters of differentiabl...
Using ultra high frequency data in integrated variance estimation: gathering evidence on market microstructure noise
Kılıçkaya, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2017)
In recent years, as a result of more readily available ultra high frequency data (UHFD), realized volatility (RV) measures became popular in the finance literature since in theory, sampling at İncreasingly higher frequency should lead to, in the limit, a consistent estimator of integrated return volatility (IV) for Ito-semimartingale asset prices. However, when observed prices are contaminated with an additive market microstructure noise (MMN), an asymptotic bias appears, and, therefore, it becomes necessar...
Optimization of long-term investments of electric distribution systems considering planning metrics
KOC, Mehmet; TOR, Osman Bulent; CEBECI, Mahmut Erkut; Güven, Ali Nezih; GULER, Firat; TASKIN, Hacer; TUNCER, Atiye; OKUL, Ufuk (2017-04-21)
This paper presents a dynamic planning algorithm methodology which optimizes long-term primary electric distribution network investments considering planning metrics. An algorithm which calculates a representative primary network model of distribution grids, whose primary and secondary networks are intricate, is developed. It is aimed to facilitate assessment of primary distribution network investment requirements and thereby defining grid investment candidates effectively. A planning algorithm, which consi...
A multi-phase heuristic for the production routing problem
Solyali, Oguz; Süral, Haldun (2017-11-01)
This study considers the production routing problem where a plant produces and distributes a single item to multiple retailers over a multi-period time horizon. The problem is to decide on when and how much to produce and stock at the plant, when and how much to serve and stock at each retailer, and vehicle routes for shipments such that the sum of fixed production setup cost, variable production cost, distribution cost, and inventory carrying cost at the plant and retailers is minimized. A multi-phase heur...
Citation Formats
A. Atak Atalık, “A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors,” ECONOMICS LETTERS, vol. 120, no. 2, pp. 224–228, 2013, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/94041.