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Home - Oxford-Man Institute Realized Library

Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 12, 2015. Realised library" contains daily non-parametric measures of how volatility financial assets or indexes were in the past. Each day's volatility measure depends solely on financial data from that day. They are driven by the use of the latest innovations in econometric modelling and theory to design them, while we draw our high frequency data from the Reuters DataScope Tick History. August 12, 2015. August 12, 2015. Wednesd...

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Home - Oxford-Man Institute Realized Library | realized.oxford-man.ox.ac.uk Reviews
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Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 12, 2015. Realised library contains daily non-parametric measures of how volatility financial assets or indexes were in the past. Each day's volatility measure depends solely on financial data from that day. They are driven by the use of the latest innovations in econometric modelling and theory to design them, while we draw our high frequency data from the Reuters DataScope Tick History. August 12, 2015. August 12, 2015. Wednesd...
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Home - Oxford-Man Institute Realized Library | realized.oxford-man.ox.ac.uk Reviews

https://realized.oxford-man.ox.ac.uk

Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 12, 2015. Realised library" contains daily non-parametric measures of how volatility financial assets or indexes were in the past. Each day's volatility measure depends solely on financial data from that day. They are driven by the use of the latest innovations in econometric modelling and theory to design them, while we draw our high frequency data from the Reuters DataScope Tick History. August 12, 2015. August 12, 2015. Wednesd...

INTERNAL PAGES

realized.oxford-man.ox.ac.uk realized.oxford-man.ox.ac.uk
1

Assets - Oxford-Man Institute Realized Library

http://realized.oxford-man.ox.ac.uk/documentation/assets

Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 31, 2016. The page hosts a list of assets which are updated on an on-going basis. Each asset page contains a list of available estimators and a brief description of the asset. Multivariate Realized Data Available.

2

Latest Values - Oxford-Man Institute Realized Library

http://realized.oxford-man.ox.ac.uk/data/latest-values

Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 31, 2016. These are the latest live values from the realized Db. This page automatically updates when the new values are available. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wednesday, 31 August 2016. Wedne...

3

Documentation - Oxford-Man Institute Realized Library

http://realized.oxford-man.ox.ac.uk/documentation

Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 31, 2016. For those users who would like to understand how we computed the "Oxford-Man Institute's realised library" we have prepared some details. The raw high frequency data which powers our realized library was downloaded by us from the Reuters DataScope Tick History. Database. We refer to that website for details of this data. The documentation given here is split into two parts. Each of these parts is self-contained.

4

News - Oxford-Man Institute Realized Library

http://realized.oxford-man.ox.ac.uk/news

Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 31, 2016. Friday, 28 October 2011 07:14 PM. The number of assets analyzed has increased to 19 in the latest update. Recent additions include many major European Indices (AEX, IBEX), Brazils IBOVESPA and Mexicos IPC. This update has also increased the range of available realized measures to include jump robust estimators (Bipower Variation and MedRV) and Realized Semivariance. Tuesday, 20 September 2011 01:30 PM.

5

Data cleaning - Oxford-Man Institute Realized Library

http://realized.oxford-man.ox.ac.uk/documentation/data-cleaning

Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 31, 2016. The Realized Library is based on underlying high frequency data, which we obtain through Reuters DataScope Tick History. P1 Delete entries with a time stamp outside the interval when the exchange is open. Quote data for the exchange rates is very plentiful and has the virtue of having no market closures. We use four rules for this, given below as Q1-Q4. Q1 is by far the most commonly used. In addition we have made variou...

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Home - Oxford-Man Institute Realized Library

Oxford-Man Institute of Quantitative Finance. Library Version: 0.2. August 12, 2015. Realised library" contains daily non-parametric measures of how volatility financial assets or indexes were in the past. Each day's volatility measure depends solely on financial data from that day. They are driven by the use of the latest innovations in econometric modelling and theory to design them, while we draw our high frequency data from the Reuters DataScope Tick History. August 12, 2015. August 12, 2015. Wednesd...

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