English, Article edition: The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects Ané, Thierry; Métais, Carole

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Physical Description
  • article
Language
  • English

Edition details

Title
  • The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects
Author
  • Ané, Thierry
  • Métais, Carole
Physical Description
  • article
Notes
  • We examine the unconditional distribution of the realized variance of three European stock market indexes obtained from intraday transaction prices. We find that they share common distributional features: a significant mass close to zero, a sharp decrease afterwards and a significant right tail. Their important differences, however, compel us to model them non-parametrically through lognormal kernel estimators. We then move to the analysis of their dependence structure and find strong evidence of asymmetry. Hence, unlike common practice, we resort to non-exchangeable copula models. Such a characterization also allows us to assess the direction of greater contamination among stock market variances.
  • Realized volatility Asymmetric dependence Positive kernel Contamination
  • RePEc:eee:finana:v:18:y:2009:i:3:p:134-150
Language
  • English
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