Exploiting intraday decompositions in realized volatility forecasting : a forecast reconciliation approach
Massimiliano Caporin, Tommaso Di Fonzo, and Daniele Girolimetto
| Year of publication: |
2024
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|---|---|
| Authors: | Caporin, Massimiliano ; Di Fonzo, Tommaso ; Girolimetto, Daniele |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 5, p. 1759-1784
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| Subject: | forecast reconciliation | good and bad volatility | hierarchical forecasting | realized volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Prognose | Forecast | Kapitaleinkommen | Capital income | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbae014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015338837