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transaction level data from the Trades and Quotes database that covers ten years of data. We find strong support for long memory …
Persistent link: https://www.econbiz.de/10011807368
In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...
Persistent link: https://www.econbiz.de/10011807392