High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting
Author:
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://www.mitpressjournals.org/doi/pdf/10.1162/003465301753237687
Reference30 articles.
1. Intraday periodicity and volatility persistence in financial markets
2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
3. Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon
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