Degiannakis, Stavros; Floros, Christos - In: Research in International Business and Finance 28 (2013) C, pp. 68-81
Autoregressive fractionally integrated moving average (ARFIMA) and heterogeneous autoregressive (HAR) models are estimated and their ability to predict the one-trading-day-ahead CAC40 realized volatility is investigated. In particular, this paper follows three steps: (i) The optimal sampling...