Daily volume, intraday and overnight returns for volatility prediction : profitability or accuracy?
Ana-Maria Fuertes; Elena Kalotychou; Natasa Todorovic
| Year of publication: |
2015
|
|---|---|
| Authors: | Fuertes, Ana María ; Kalotychou, Elena ; Todorovic, Natasa |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 45.2015, 2, p. 251-278
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| Subject: | Conditional variance forecasting | Trading rules | Realized volatility | Directional change prediction | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Prognose | Forecast | Wechselkurs | Exchange rate |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011333120