Using high frequency stock market index data to calculate, model and forecast realized return variance
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number ECO2001/06.
Date of creation: 2001
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- Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
- Roxana Halbleib & Valeri Voev, 2011.
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- Roxana Halbleib & Valerie Voev, 2010. "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES ECARES 2010-041, ULB -- Universite Libre de Bruxelles.
- Giot, Pierre & Laurent, Sebastien, 2004.
"Modelling daily Value-at-Risk using realized volatility and ARCH type models,"
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Elsevier, vol. 11(3), pages 379-398, June.
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- GIOT, Pierre & LAURENT, Sébastien, . "Modelling daily Value-at-Risk using realized volatility and ARCH type models," CORE Discussion Papers RP -1708, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pierre Giot & Sébastien Laurent, 2002. "Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models," Computing in Economics and Finance 2002 52, Society for Computational Economics.
- Adam E Clements & Yin Liao, 2013. "Modeling and forecasting realized volatility: getting the most out of the jump component," NCER Working Paper Series 93, National Centre for Econometric Research.
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