Forecasting daily volatility with intraday data
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References listed on IDEAS
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
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- Jan Hanousek & Evžen Kočenda, 2011.
"Foreign News and Spillovers in Emerging European Stock Markets,"
Review of International Economics,
Wiley Blackwell, vol. 19(1), pages 170-188, February.
- Jan Hanousek & Evzen Kocenda, 2009. "Intraday Price Discovery in Emerging European Stock Markets," CERGE-EI Working Papers wp382, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Evzen Kocenda & Jan Hanousek, 2010. "Foreign News and Spillovers in Emerging European Stock Markets," William Davidson Institute Working Papers Series wp983, William Davidson Institute at the University of Michigan.
- Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, May.
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Keywordsintraday return volatility; volatility forecasting; realized volatility; quadratic variation;
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