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Michael Schröder (Hrsg.) Basistechniken, Fortgeschrittene Verfahren, Prognosemodelle 2., überarbeitete Auflage 2012 Schäffer-Poeschel Verlag Stuttgart IX Inhaltsübersicht Vorwort zur zweiten Auflage ...
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This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...
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Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by … History of Econometrics at the University of California, San Diego: A Personal Viewpoint 1 … 6 7 Wives 8 8 The Econometrics Research Project …
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