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Dividend Clustering and the Dow Jones Industrial Average

✍ Scribed by Dale L. Domian

Book ID
124947869
Publisher
Financial Management Association International (FMA)
Year
1992
Tongue
English
Weight
239 KB
Volume
21
Category
Article
ISSN
0046-3892

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Forecasting volatility with noisy jumps:
Forecasting volatility with noisy jumps: an application to the Dow Jones Industrial Average stocks
✍ Basel M. A. Awartani πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 149 KB

## Abstract Empirical high‐frequency data can be used to separate the continuous and the jump components of realized volatility. This may improve on the accuracy of out‐of‐sample realized volatility forecasts. A further improvement may be realized by disentangling the two components using a samplin