𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Medium-term horizon volatility forecasting: A comparative study

✍ Scribed by Richard Hawkes; Paresh Date


Book ID
101656156
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
160 KB
Volume
23
Category
Article
ISSN
1524-1904

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Forecasting exchange rate volatility: a
✍ David T. L. Siu; John Okunev πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 160 KB

## Abstract Recent studies suggest realized volatility provides forecasts that are as good as option‐implied volatilities, with improvement stemming from the use of high‐frequency data instead of a long‐memory specification. This paper examines whether volatility persistence can be captured by a lo

A comparative study of alternative extre
✍ Turan G. Bali; David Weinbaum πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 147 KB

Recent advances in econometric methodology and newly available sources of data are used to examine empirically the performance of the various extreme-value volatility estimators that have been proposed over the past two decades. Overwhelming support is found for the use of extreme-value estimators w