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Persistent link: https://www.econbiz.de/10012436353
We introduce the jump intensity and investor sentiment from the Hawkes and Contact processes to forecast Realized Range-based Volatility using high frequency intraday data. Investor sentiment factor is added to the benchmark models, which are Heterogeneous Auto-Regressive with Continuous...
Persistent link: https://www.econbiz.de/10014238664
We introduce the jump intensity and investor sentiment from the Hawkes and Contact processes to forecast Realized Range-based Volatility using high frequency intraday data. Investor sentiment factor is added to the benchmark models, which are Heterogeneous Auto-Regressive with Continuous...
Persistent link: https://www.econbiz.de/10014238832
Persistent link: https://www.econbiz.de/10014322445