Chan, Wing Hong; Cheng, Xin; Fung, Joseph K.W. - In: Journal of Futures Markets 30 (2010) 12, pp. 1167-1191
This study empirically tests how and to what extent the choice of the sampling frequency, the realized volatility (RV) measure, the forecasting horizon and the time‐series model affect the quality of volatility forecasting. Using highly synchronous executable quotes retrieved from an...