The one-trading-day-ahead forecast errors of intra-day realized volatility
Stavros Degiannakis
| Year of publication: |
December 2017
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|---|---|
| Authors: | Degiannakis, Stavros |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 42.2017, p. 1298-1314
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| Subject: | ARFIMA model | HAR model | Intra-day data | Predictive ability | Realized volatility | Ultra-high frequency modelling | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARMA-Modell | ARMA model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2017.07.067 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011761003