## Abstract Recent studies suggest realized volatility provides forecasts that are as good as optionβimplied volatilities, with improvement stemming from the use of highβfrequency data instead of a longβmemory specification. This paper examines whether volatility persistence can be captured by a lo
β¦ LIBER β¦
Medium-term horizon volatility forecasting: A comparative study
β 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
- DOI
- 10.1002/asmb.684
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