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Handbook of Financial Time Series || Evaluating Volatility and Correlation Forecasts

✍ Scribed by Mikosch, Thomas; Kreiß, Jens-Peter; Davis, Richard A.; Andersen, Torben Gustav

Book ID
120518329
Publisher
Springer Berlin Heidelberg
Year
2009
Tongue
German
Weight
838 KB
Edition
2009
Category
Article
ISBN
3540712976

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✦ Synopsis

The Handbook Of Financial Time Series Gives An Up-to-date Overview Of The Field And Covers All Relevant Topics Both From A Statistical And An Econometrical Point Of View. There Are Many Fine Contributions, And A Preamble By Nobel Prize Winner Robert F. Engle.

📜 SIMILAR VOLUMES

Handbook of Financial Time Series || Mul
Handbook of Financial Time Series || Multivariate Stochastic Volatility
✍ Mikosch, Thomas; Kreiß, Jens-Peter; Davis, Richard A.; Andersen, Torben Gustav 📂 Article 📅 2009 🏛 Springer Berlin Heidelberg 🌐 German ⚖ 646 KB

The Handbook Of Financial Time Series Gives An Up-to-date Overview Of The Field And Covers All Relevant Topics Both From A Statistical And An Econometrical Point Of View. There Are Many Fine Contributions, And A Preamble By Nobel Prize Winner Robert F. Engle.

Predicting financial volatility: High-fr
Predicting financial volatility: High-frequency time-series forecasts vis-à-vis implied volatility
✍ Martin Martens; Jason Zein 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 170 KB

## Abstract Recent evidence suggests option implied volatilities provide better forecasts of financial volatility than time‐series models based on historical __daily__ returns. In this study both the measurement and the forecasting of financial volatility is improved using high‐frequency data and l