Stock Index Volatility Forecasting with High Frequency Data
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Daniel Djupsjobacka, 2010. "Implications of market microstructure for realized variance measurement," The European Journal of Finance, Taylor & Francis Journals, vol. 16(1), pages 27-43.
- Linlan Xiao, 2013. "Realized volatility forecasting: empirical evidence from stock market indices and exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 57-69, January.
- repec:eee:intfin:v:52:y:2018:i:c:p:102-113 is not listed on IDEAS
- Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
More about this item
KeywordsARFIMA; Financial market volatility; GARCH; Realised volatility; Stochastic volatility; Stock index returns; Unobserved ARMA component;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CFN-2002-12-02 (Corporate Finance)
- NEP-ETS-2002-12-02 (Econometric Time Series)
- NEP-RMG-2002-12-02 (Risk Management)
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