Forecasting and trading high frequency volatility on large indices
Fei Liu, Athanasios A. Pantelous and Hans-Jörg von Mettenheim
| Year of publication: |
May 2018
|
|---|---|
| Authors: | Liu, Fei ; Pantelous, Athanasios A. ; Mettenheim, Hans-Jörg von |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 5, p. 737-748
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| Subject: | Forecasting | Realized volatility | High-frequency data | HAR-RV-J | RNN | Hybrid model | Trading efficiency | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Wechselkurs | Exchange rate | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1414489 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011907914