Selma Chaker - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:08:31+00:00A Distributional Approach to Realized Volatility
https://www.bankofcanada.ca/2013/12/working-paper-2013-49/
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.2013-12-20T10:14:03+00:00enA Distributional Approach to Realized Volatility2013-12-20Econometric and statistical methodsFinancial marketsWorking Paper 2013-49https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-49.pdfA Distributional Approach to Realized VolatilitySelma ChakerNour MeddahiDecember 2013CC1C14C5C51C58Volatility Forecasting when the Noise Variance Is Time-Varying
https://www.bankofcanada.ca/2013/12/working-paper-2013-48/
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility.2013-12-20T10:13:05+00:00enVolatility Forecasting when the Noise Variance Is Time-Varying2013-12-20Econometric and statistical methodsFinancial marketsWorking Paper 2013-48https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-48.pdfVolatility Forecasting when the Noise Variance Is Time-VaryingSelma ChakerNour MeddahiDecember 2013CC1C14C5C51C58Volatility and Liquidity Costs
https://www.bankofcanada.ca/2013/08/working-paper-2013-29/
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.2013-08-20T10:09:42+00:00enVolatility and Liquidity Costs2013-08-20Econometric and statistical methodsFinancial marketsMarket structure and pricingWorking Paper 2013-29https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-29.pdfVolatility and Liquidity CostsSelma ChakerAugust 2013CC1C14C5C51C58GG2G20