EconPapers    
Economics at your fingertips  
 

Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility

Jean-Marie Dufour (), René Garcia () and Abderrahim Taamouti ()

Journal of Financial Econometrics, 2009, vol. 10, issue 1, 124-163

Abstract: We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage ef fect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility and find that implied volatilities are essential for assessing the volatility feedback effect. We also study the impact of news on returns and volatility. We introduce a concept of news based on the difference between implied and realized volatilities (the variance risk premium) and find that a positive variance risk premium has more impact on returns than a negative variance risk premium. Copyright The Author 2011. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.

Date: 2009
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbr007 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:10:y:2009:i:1:p:124-163

Ordering information: This journal article can be ordered from
http://www.oup.co.uk/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by RenÈ Garcia and Eric Renault

More articles in Journal of Financial Econometrics from Society for Financial Econometrics Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().

 
Page updated 2019-08-20
Handle: RePEc:oup:jfinec:v:10:y:2009:i:1:p:124-163