๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Modeling and Forecasting Realized Volatility

โœ Scribed by Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Paul Labys


Book ID
108556206
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
678 KB
Volume
71
Category
Article
ISSN
0012-9682

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Modeling and Forecasting Realized Volati
โœ Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Paul Labys ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 678 KB

We provide a framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic varia

Modelling and forecasting multivariate r
โœ Roxana Chiriac; Valeri Voev ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 288 KB

This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for flexible dependence patterns and automatically guarantees positive definiteness of the forecast. We provide an empirical applica