Selma Chaker

Author

Staff working papers

Volatility Forecasting when the Noise Variance Is Time-Varying

Staff Working Paper 2013-48 Selma Chaker, Nour Meddahi
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.

Volatility and Liquidity Costs

Staff Working Paper 2013-29 Selma Chaker
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.

See More