Caporin, Massimiliano; Ranaldo, Angelo; Santucci de … - School of Finance, Universität St. Gallen - 2012
Contrary to the common wisdom that asset prices are barely possible to forecast, we show that that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This...