Narrow search
Showing 1 - 5 of 5
Cover Image
Volatility forecasting using intraday information with the CARR models for the China stock markets
Wu, Chun-Chou; Xu, Wen - In: Asia-Pacific journal of accounting & economics : … 30 (2023) 4, pp. 912-929
Persistent link: https://www.econbiz.de/10014319629
Cover Image
Evaluating volatility and correlation forecasts
Patton, Andrew J.; Sheppard, Kevin - In: Handbook of financial time series, (pp. 801-838). 2009
Persistent link: https://www.econbiz.de/10003834236
Cover Image
Optimal combinations of realised volatility estimators
Patton, Andrew J.; Sheppard, Kevin - In: International journal of forecasting 25 (2009) 2, pp. 218-238
Persistent link: https://www.econbiz.de/10003870045
Cover Image
Good volatility, bad volatility : signed jumps and the persistence of volatility
Patton, Andrew J.; Sheppard, Kevin - In: The review of economics and statistics 97 (2015) 3, pp. 683-697
Persistent link: https://www.econbiz.de/10011333073
Cover Image
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311
Persistent link: https://www.econbiz.de/10011499439