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Angelidis et al., 2008 - Google Patents

Volatility forecasting: Intra-day versus inter-day models

Angelidis et al., 2008

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Document ID
7914063211129502131
Author
Angelidis T
Degiannakis S
Publication year
Publication venue
Journal of International Financial Markets, Institutions and Money

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Snippet

Volatility prediction is the key variable in forecasting the prices of options, value-at-risk and, in general, the risk that investors face. By estimating not only inter-day volatility models that capture the main characteristics of asset returns, but also intra-day models, we were able to …
Continue reading at mpra.ub.uni-muenchen.de (PDF) (other versions)

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