Modelling the Impact of Overnight Surprises on Intra-daily Volatility
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- Gallo, Giampiero M, 2001. "Modelling the Impact of Overnight Surprises on Intra-Daily Volatility," Australian Economic Papers, Wiley Blackwell, vol. 40(4), pages 567-580, December.
References listed on IDEAS
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- Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016.
"Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?,"
Tinbergen Institute Discussion Papers
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- Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Pierre Blanc & R'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "The fine structure of volatility feedback II: overnight and intra-day effects," Papers 1309.5806, arXiv.org, revised May 2014.
- Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Hiroki Masuda & Takayuki Morimoto, 2009. "An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data," Global COE Hi-Stat Discussion Paper Series gd08-033, Institute of Economic Research, Hitotsubashi University.
- Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, vol. 36(C), pages 332-340.
More about this item
KeywordsVolatility forecasting; univariate GARCH; market opening surprise bias.;
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