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Forecasting and Trading High Frequency Volatility on Large Indices · Study

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ArticleForecasting and Trading High Frequency Volatility on Large Indices

Athanasios A. Pantelous2016

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Articlegreen2016

Forecasting and Trading High Frequency Volatility on Large Indices

Athanasios A. Pantelous · Hans‐Jörg von Mettenheim

21 citations·0/0 files stored·Quantitative Finance

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 2006Another look at measures of forecast accuracy n.d.Forecasting principles and practice 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2008A Simple Approximate Long-Memory Model of Realized Volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility

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Details

Year2016

Typearticle

Published2016-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1080/14697688.2017.1414489

openalex_workW3125827220

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