High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
Author:
Affiliation:
1. Center for Applied Statistics, Renmin University of China, Beijing, 100872, CN
Publisher
Institute of Mathematical Statistics
Reference56 articles.
1. AÏT-SAHALIA, Y., FAN, J. AND XIU, D. (2010). High-frequency covari- ance estimates with noisy and asynchronous financial data. Journal of the American Statistical Association 105 1504-1517.
2. AÏT-SAHALIA, Y., JACOD, J. AND LI, J. (2010). Testing for jumps in noisy high frequency data. Journal of Econometrics 168 207-222.
3. ALMGREN, R. AND CHRISS, N. (2000). Optimal execution of portfolio transactions. Journal of Risk 3 5-39.
4. ANDERSEN, T. G. AND BOLLERSLEV, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance 4 115-158.
5. ANDERSEN, T. G. AND BOLLERSLEV, T. (1998). DM-Dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer-run dependencies. Journal of Finance 53 219-265.
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