Volatility forecasting performance of two-scale realized volatility
Year of publication: |
2014
|
---|---|
Authors: | Garg, S. ; Vipul |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 16/18, p. 1111-1121
|
Subject: | volatility forecasting | realized volatility | two-scale realized volatility | sparse-sampled realized volatility | EWMA | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
-
Zhang, Kai, (2018)
-
Park, Soyoung, (2014)
-
Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara, (2018)
- More ...
-
Volatility forecasting performance of two-scale realized volatility
Garg, S., (2014)
-
Improving portfolio diversification: Identifying the right baskets for putting your eggs
Sharma, Prateek, (2018)
-
CAPM: does it help in Indian capital market?
Vipul, (1998)
- More ...