Forecasting Volatility using High Frequency Data
نویسندگان
چکیده
منابع مشابه
Analysis of High Frequency Financial Data: Models, Methods and Software. Part II: Modeling and Forecasting Realized Variance Measures
A key problem in financial econometrics is the modeling, estimation and forecasting of conditional return volatility and correlation. Having accurate forecasting models for conditional volatility and correlation is important for accurate derivatives pricing, risk management and asset allocation decisions. It is well known that conditional volatility and correlation are highly predictable. An in...
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تاریخ انتشار 2010