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Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange

Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014

analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … documented, which motivates the use of a flexible and robust methodology such as the Realized GARCH. Within this framework …-of-sample results for the Realized GARCH forecasts suggest a limited added value from using “traditional” realized volatility measures …

Persistent link: https://www.econbiz.de/10010945126

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - School of Economics and Management, University of Aarhus - 2007

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...

Persistent link: https://www.econbiz.de/10005440071