Increasing the information content of realized volatility forecasts
Year of publication: |
2023
|
---|---|
Authors: | Pascalau, Razvan ; Poirier, Ryan |
Subject: | realized variance | rolling window | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Informationswert | Information value | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model | Börsenkurs | Share price | Theorie | Theory | Kapitaleinkommen | Capital income |
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