The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects

Thierry Ané and Carole Métais

International Review of Financial Analysis, 2009, vol. 18, issue 3, 134-150

Abstract: 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.

Keywords: Realized; volatility; Asymmetric; dependence; Positive; kernel; Contamination (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:18:y:2009:i:3:p:134-150

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