Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components (Q3065547)
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scientific article; zbMATH DE number 5833048
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| English | Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components |
scientific article; zbMATH DE number 5833048 |
Statements
Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components (English)
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6 January 2011
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intraday periodicity
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time-varying cyclical components
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volatility forecasts
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volatility persistence
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0.796890377998352
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0.7933053374290466
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0.7851822972297668
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0.7736004590988159
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0.7690070271492004
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