The one-trading-day-ahead forecast errors of intra-day realized volatility
Year of publication: |
December 2017
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Authors: | Degiannakis, Stavros |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 42.2017, p. 1298-1314
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Subject: | ARFIMA model | HAR model | Intra-day data | Predictive ability | Realized volatility | Ultra-high frequency modelling | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
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