Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Year of publication: |
July 2015
|
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Authors: | Liu, Lily Y. ; Patton, Andrew J. ; Sheppard, Kevin |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 1, p. 293-311
|
Subject: | Realized variance | Volatility forecasting | High frequency data | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Vergleich | Comparison | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
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