Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
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Publication:3065547
DOI10.1002/for.1156zbMath1204.91097MaRDI QIDQ3065547
Publication date: 6 January 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.1156
volatility persistence; volatility forecasts; intraday periodicity; time-varying cyclical components
91B82: Statistical methods; economic indices and measures
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