Greek sovereign crisis and European exchange rates: effects of news releases and their providers

Γκίλλας, Κωνσταντίνος; Vortelinos, Dimitrios I.; Floros, Christos; Garefalakis, Alexandros; Sariannidis, Nikolaos

doi:10.1007/s10479-019-03199-x

Cited by 4 publications

(1 citation statement)

References 73 publications

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“…Our description is compact due to the fact that the details of the realized methodology used in this study have been laid out in recent contributions by Gkillas (Gkillas ) Gkillas (Gillas); Demirer et al (2019); Gkillas et al (2019aGkillas et al ( , 2019bGkillas et al ( , 2020aGkillas et al ( , 2020bGkillas et al ( , 2020c.…”

Section: Classes Of Realized Measuresmentioning

confidence: 99%

Realized Measures to Explain Volatility Changes over Time

Floros

Γκίλλας

Konstantatos

et al. 2020

JRFM

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We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain volatility changes over time for both the S&P500 and FTSE100 indices. The period of analysis spanned from January 2000 to June 2017 incorporating various market phases, such as booms and crashes. Based on the estimated regressions, we found evidence that the returns of S&P500 and FTSE100 indices were well explained by a specific group of realized measure estimators, and the returns negatively affected realized volatility. These results are highly recommended to financial analysts dealing with high frequency data and volatility modelling.

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