Showing 1 - 2 of 2
investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and …
Persistent link: https://www.econbiz.de/10011543960
In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10011553303