Impact of overnight information on MEM volatility prediction

DOI10.4310/SII.2008.V1.N2.A7MaRDI QIDQ660060zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 25 January 2012

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

Full work available at URL https://doi.org/10.4310/sii.2008.v1.n2.a7

zbMATH Keywords

MEMmultiplicative error modelovernight returnvolatility forecast

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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(2)

• The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
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