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On the efficacy of techniques for evaluating multivariate volatility forecasts

Clements, Adam; Doolan, Mark; Hurn, Stan; Becker, Ralf - 2009

Persistent link: https://www.econbiz.de/10003880627

Selecting forecasting models for portfolio allocation

Clements, Adam; Doolan, Mark; Hurn, Stan; Becker, Ralf - 2012

Persistent link: https://www.econbiz.de/10009575265

Semi-parametric forecasting of realized volatility

Becker, Ralf; Clements, Adam; Hurn, Stan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10009521204

Selecting volatility forecasting models for portfolio allocation purposes

Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861

Persistent link: https://www.econbiz.de/10011474597

Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level

Hong, KiHoon Jimmy - Finance Discipline Group, Business School - 2013

This paper investigates the sensitivity of asset and portfolio price volatility with respect to the minimum available trading interval that the price is quoted. The objective of the study is to find the theoretical impact of high frequency trading on asset and portfolio volatilities, using a...

Persistent link: https://www.econbiz.de/10010883507