Does higher-frequency data always help to predict longer-horizon volatility?
Year of publication: |
June 2017
|
---|---|
Authors: | Charoenwong, Ben ; Feng, Guanhao |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2017, 5, p. 55-75
|
Subject: | long-horizon volatility | iterated forecasts | temporal aggregation | model selection | risk management | mixed data frequency | Theorie | Theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Aggregation | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis |
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