High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting
High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting
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238 Main St., Suite 500, Cambridge, MA 02142-1046, USA: MIT Press
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Language
English
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Publisher
238 Main St., Suite 500, Cambridge, MA 02142-1046, USA: MIT Press
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Contents
Although it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the most appropriate parametric model for characterizing this temporal dependence. In this paper, we propose a simple way of modeling financial market volatility using high-frequency data. The method avoids using a tight parametric...
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Full title
High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting
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TN_cdi_crossref_primary_10_1162_003465301753237687
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1162_003465301753237687
Other Identifiers
ISSN
0034-6535
E-ISSN
1530-9142
DOI
10.1162/003465301753237687
