The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects
Ané, Thierry; Métais, Carole (2009), The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects, International Review of Financial Analysis, 18, 3, p. 134-150. http://dx.doi.org/10.1016/j.irfa.2009.02.002
TypeArticle accepté pour publication ou publié
Journal nameInternational Review of Financial Analysis
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Abstract (EN)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.
Subjects / KeywordsRealized volatility; Asymmetric dependence; Positive kernel; Contamination
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