Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading
Year of publication: |
2012-10-25
|
---|---|
Authors: | van Dijk, Dick ; Bannouh, Bannouh, K. ; Martens, Martens, M.P.E. |
Institutions: | Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam |
Subject: | forecasting | high frequency data | market microstructure noise | realized range | realized variance | two time scales |
Extent: | application/pdf |
---|---|
Series: | ERIM Report Series Research in Management. - ISSN 1566-5283. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureri Number ERS-2012-018-F&A |
Classification: | C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting |
Source: |
-
Forecasting volatility with the realized range in the presence of noise and non-trading
Bannouh, Karim, (2013)
-
Forecasting volatility with the realized range in the presence of noise and non-trading
Bannouh, Karim, (2013)
-
Todorova, Neda, (2014)
- More ...
-
Realized mixed-frequency factor models for vast dimensional covariance estimation
van Dijk, Dick, (2012)
-
van Dijk, Dick, (2007)
-
Range-based covariance estimation using high-frequency data: The realized co-range
van Dijk, Dick, (2008)
- More ...