Forecasting volatility with the realized range in the presence of noise and non-trading
Karim Bannouh; Martin Martens; Dick van Dijk
| Year of publication: |
2013
|
|---|---|
| Authors: | Bannouh, Karim ; Martens, Martin ; Dijk, Dick van |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 535-551
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| Subject: | Realized variance | Realized range | Two time scales | High frequency data | Market microstructure noise | Forecasting | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Prognoseverfahren | Forecasting model | Noise Trading | Noise trading | Varianzanalyse | Analysis of variance | Theorie | Theory | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| 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/10010370495