Do we need high frequency data to forecast variances?
Denisa Banulescu-Radu, Christophe Hurlin, Bertrand Candelon, Sébastien Laurent
| Year of publication: |
December 2016
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|---|---|
| Authors: | Banulescu-Radu, Denisa ; Hurlin, Christophe ; Candelon, Bertrand ; Laurent, Sébastien |
| Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 135-174
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| Subject: | Variance Forecasting | MIDAS | High-Frequency Data | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Theorie | Theory | Prognose | Forecast | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in französischer Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011592741