Wei, Yu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5546-5556
measurement noise could be perfectly outperformed by a so-called realized volatility (RV) measure calculated by the cumulative sum … fuel oil futures on the Shanghai Futures Exchange (SHFE): the GARCH-type, stochastic volatility (SV) and realized … realized volatility model based on intraday high-frequency data produces significantly more accurate volatility forecasts than …