Angelidis, Timotheos; Degiannakis, Stavros - In: Journal of International Financial Markets, … 18 (2008) 5, pp. 449-465
Volatility prediction is the key variable in forecasting the prices of options, value-at-risk and, in general, the risk that investors face. By estimating not only inter-day volatility models that capture the main characteristics of asset returns, but also intra-day models, we were able to...