Anderson, Heather M. (contributor); … - 2005
Volatility of Australian Stock
Returns: Do Common Factors Help?
Heather M. Anderson and Farshid Vahid∗
School of …: 086831 451 X
Abstract: This paper develops univariate and multivariate forecasting models for realized
volatility … simple and sophisticated factor models.
Keywords: Realized volatility, factor models, jumps, model selection, forecasting …