Showing 161 - 170 of 896,889
Persistent link: https://www.econbiz.de/10014391443
Persistent link: https://www.econbiz.de/10014435626
Persistent link: https://www.econbiz.de/10012312640
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump … estimators. This combined effect adversely affects forecasting. To account for this, we propose a periodicity-adjusted model …
Persistent link: https://www.econbiz.de/10012063222
Persistent link: https://www.econbiz.de/10012437952
Persistent link: https://www.econbiz.de/10014461560
Persistent link: https://www.econbiz.de/10011990981
Persistent link: https://www.econbiz.de/10015045177
This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...
Persistent link: https://www.econbiz.de/10011346450
Persistent link: https://www.econbiz.de/10015081182