Shephard, Neil G.; Sheppard, Kevin - 2009
: FORECASTING WITH HIGH
FREQUENCY BASED VOLATILITY (HEAVY) MODELS
Neil Shephard and Kevin Sheppard …
volatility (HEAVY) models∗
Neil Shephard
Oxford-Man Institute, University of Oxford,
Eagle House, Walton Well Road, Oxford OX2 6 … based volatility (HEAVY) mod-
els. These models are direct models of daily asset return volatility based on realized …