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The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data
Varneskov, Rasmus Tangsgaard - School of Economics and Management, University of Aarhus - 2010
This paper considers the performance of different long-memory dynamic models when forecasting volatility in the stock … noise. A comparison between a class of HAR- and ARFIMA models is facilitated on the basis of out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10008462019
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The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks
Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010
This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and \model-free" implied volatility expectations, the recently proposed corridor...
Persistent link: https://www.econbiz.de/10008462027
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Construction and Interpretation of Model-Free Implied Volatility
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2007
facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the …
Persistent link: https://www.econbiz.de/10005440033