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Forecasting daily volatility with intraday data

Frijns, Bart; Margaritis, Dimitris - In: The European Journal of Finance 14 (2008) 6, pp. 523-540

The aim of this paper is to assess to what extent intraday data can explain and predict end-of-the-day volatility. Using a realized volatility measure as proposed by Andersen, T., T. Bollerslev, F. Diebold, and P. Labys. 2001. The distribution of realized exchange rate volatility. Journal of the...

Persistent link: https://www.econbiz.de/10005471842

Firm efficiency and stock returns

Frijns, Bart; Margaritis, Dimitris; Psillaki, Maria - In: Journal of Productivity Analysis 37 (2012) 3, pp. 295-306

Persistent link: https://www.econbiz.de/10010865908

Firm efficiency and stock returns

Frijns, Bart; Margaritis, Dimitris; Psillaki, Maria - In: Journal of productivity analysis 37 (2012) 3, pp. 295-307

Persistent link: https://www.econbiz.de/10009978332

Forecasting daily volatility with intraday data

Frijns, Bart; Margaritis, Dimitris - In: The European journal of finance 14 (2008) 5-6, pp. 523

Persistent link: https://www.econbiz.de/10008134895

Firm efficiency and stock returns

Frijns, Bart; Margaritis, Dimitris; Psillaki, Maria - In: Journal of productivity analysis 37 (2012) 3, pp. 295-306

Persistent link: https://www.econbiz.de/10009633355

Forecasting daily volatility with intraday data

Frijns, Bart; Margaritis, Dimitris - In: The European journal of finance 14 (2008) 5/6, pp. 523-540

Persistent link: https://www.econbiz.de/10003772119

An application of the Kalman filtering technique to the modelling of price expectations

Margaritis, Dimitris - In: The journal of economics 11 (1985), pp. 156-159

Persistent link: https://www.econbiz.de/10001438844

Strong convergence of least squares learning to rational expectations

Margaritis, Dimitris - In: Economics letters 23 (1987) 2, pp. 157-161

Persistent link: https://www.econbiz.de/10001027055

[Rezension von: Macroeconomic conflict and social institutions, ed. by Shlomo Maital ..]

Margaritis, Dimitris - In: Southern economic journal 52 (1986) 4, pp. 1204-1205

Persistent link: https://www.econbiz.de/10001341449

A time-varying model of rational learning

Margaritis, Dimitris - In: Economics letters 33 (1990) 4, pp. 309-314

Persistent link: https://www.econbiz.de/10001090863

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