Modelling and forecasting high frequency financial data

Stavros Degiannakis and Christos Floros

Introduction to high frequency financial modelling -- Intra-day realized volatility measures -- Methods of volatility estimation and forecasting -- Multiple model comparison and hypothesis framework construction -- Realized volatility forecasting - applications -- Recent methods: a review -- Intraday hedge ratios & option pricing

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Year of publication:	2015
Authors:	Degiannakis, Stavros ; Floros, Christos
Publisher:	Houndmills, Basingstoke, Hampshire [u.a.] : Palgrave Macmillan
Subject:	Finanzanalyse \| Financial analysis \| Volatilität \| Volatility \| Prognoseverfahren \| Forecasting model \| Zeitreihenanalyse \| Time series analysis \| Finanzmarktökonometrie \| Financial econometrics \| Finanzmarkt \| Financial market \| Schätzung \| Estimation \| Prognosequalität \| Börsenhandel
Description of contents:	Table of Contents [gbv.de]

Extent:	XXII, 278 S. graph. Darst.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Introduction to high frequency financial modellingIntra-day realized volatility measures -- Methods of volatility estimation and forecasting -- Multiple model comparison and hypothesis framework construction -- Realized volatility forecasting - applications -- Recent methods: a review -- Intraday hedge ratios & option pricing.
ISBN:	978-1-137-39648-8
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011374245