Modeling and forecasting realized range volatility
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More about this item
KeywordsStatistical analysis of financial data; Econometrics; Forecasting methods; Time series analysis; Realized Range Volatility; Realized Volatility; Long-memory; Volatility forecasting;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-24 (All new papers)
- NEP-ECM-2011-05-24 (Econometrics)
- NEP-ETS-2011-05-24 (Econometric Time Series)
- NEP-FOR-2011-05-24 (Forecasting)
- NEP-MST-2011-05-24 (Market Microstructure)
- NEP-ORE-2011-05-24 (Operations Research)
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