Impact of overnight information on MEM volatility prediction

DOI10.4310/SII.2008.v1.n2.a7zbMath1230.91191MaRDI QIDQ660060

Juan-Miguel Gracia

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

MEM; multiplicative error model; overnight return; volatility forecast

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures