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Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...
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-economic network theories (e.g. entropy maximization, spatial interaction theory, etc.); (ii) the nature of the analytical relationship …
Persistent link: https://www.econbiz.de/10011731610
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011674479