Realising the future: forecasting with high frequency based volatility (HEAVY) models
Year of publication: |
2009
|
---|---|
Authors: | Shephard, Neil ; Sheppard, Kevin |
Institutions: | Finance Research Centre, Oxford University |
Subject: | ARCH models | bootstrap | missing data | multiplicative error model | multistep ahead prediction | non-nested likelihood ratio test | realised kernel | realised volatility |
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Realising the future: forecasting with high frequency based volatility (HEAVY) models
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Realising the future: forecasting with high frequency based volatility (HEAVY) models
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