Evaluating and improving GARCH-based volatility forecasts with range-based estimators
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/00036846.2012.748179
Reference34 articles.
1. Range-Based Estimation of Stochastic Volatility Models
2. Intraday periodicity and volatility persistence in financial markets
3. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
4. Modeling and Forecasting Realized Volatility
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