Volatility forecasting using high frequency data : evidence from stock markets
Year of publication: |
2014
|
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Authors: | Çelik, Sibel ; Ergin, Hüseyin |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 36.2014, p. 176-190
|
Subject: | Volatility | Realized volatility | High frequency data | Price jumps | Volatilität | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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