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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

Type
Article accepté pour publication ou publié
Date
2009-06
Journal name
International Review of Financial Analysis
Volume
18
Number
3
Publisher
Elsevier
Pages
134-150
Publication identifier
http://dx.doi.org/10.1016/j.irfa.2009.02.002
Metadata
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Author(s)
Ané, Thierry
Métais, Carole
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 / Keywords
Realized volatility; Asymmetric dependence; Positive kernel; Contamination
JEL
C52 - Model Evaluation, Validation, and Selection
C14 - Semiparametric and Nonparametric Methods: General
C16

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