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This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...
Persistent link: https://www.econbiz.de/10012470566
besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and …
Persistent link: https://www.econbiz.de/10012475446