Forecasting volatility with the realized range in the presence of noise and non-trading
Year of publication: |
2013
|
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Authors: | Bannouh, Karim ; Martens, Martin ; Dijk, Dick van |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 535-551
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Subject: | Realized variance | Realized range | Two time scales | High frequency data | Market microstructure noise | Forecasting | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Prognoseverfahren | Forecasting model | Noise Trading | Noise trading | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Systematischer Fehler | Bias |
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