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Daily volume, intraday and overnight returns for volatility prediction : profitability or accuracy?

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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching

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New panel unit root tests of PPP

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Combining nearest neighbor predictions and model-based predictions of realized variance : does it pay?

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Numerical issues in threshold autoregressive modeling of time series

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A non-linear analysis of excess foreign exchange returns

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Testing the persistence and structuralist theories of uemployment

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Unobserved heterogeneity in panel time series models

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Asymmetries and the forward premium puzzle

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Volume, Intraday and Overnight Returns for Volatility Prediction : Profitability or Accuracy?

Fuertes, Ana-Maria - 2013

This article presents a comprehensive analysis of the relative ability of three information sets --- daily trading volume, intraday returns and overnight returns --- to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into...

Persistent link: https://www.econbiz.de/10013095770