realized volatilityhigh–frequency datalong memoryvolatility forecastingdensity forecastingrisk managementWe provide a framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Buil...
MODELING AND FORECASTING REALIZED VOLATILITY * by Torben G. Andersena, Tim Bollerslevb, Francis X. Dieboldc and Paul Labysd First Draft: January 1999 Revised: January 2001, January 2002 We provide a general framework for integration of high-frequency intraday data into the measurement, modeling,...
Modeling and Forecasting Realized Volatility 来自 EBSCO 喜欢 0 阅读量: 1158 摘要: We provide a framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Building on the theory of...
MODELING AND FORECASTING REALIZED VOLATILITY* by Torben G. Andersena, Tim Bollerslevb, Francis X. Dieboldc and Paul Labysd First Draft: January 1999 This Version: January 2001 This paper provides a general framework for integration of high-frequency intraday data into the measurement, modeling, ...
An Analog Method for Real-Time Forecasting of Summer Monsoon Subseasonal Variability Moreover, as the modeling data grow with time as a result of the increased number of observations, the number of analogs would also increase and ... PK Xavier,BN Goswami - 《Monthly Weather Review》 被引量:...
Andersen TG, Bollerslev T, Diebold FX, Labys P (2003) Modeling and forecasting realized volatility. Econometrica 71:579–625 Article Google Scholar Audrino F, Knaus SD (2016) Lassoing the HAR model: A model selection perspective on realized volatility dynamics. Econometric Reviews 35:1485–1521...
ForecastingRealized VarianceRealized KernelModel Confidence SetWe explore intraday transaction records from NASDAQ OMX Commodities Europe from January 2006 to October 2013. We analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GAR...
Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange... K Choi,W Yu,E Zivot - 《Social Science Electronic Publish...
This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula functions. Copula-based time series mode... Oleg Sokolinskiy,Dick J. C. van Dijk - 《Ssrn Electronic Journal》 被引量: 11发表: 2011年 The economics of data: Using simple model...
studies have inconsistent conclusions as to the value of separating volatility into its continuous and jump components in forecasting electricity price volatility. The above studies all adopt the linear HAR structure. They implicitly assume the residuals of the HAR-type models are Gaussian as well as...