Add to ORKGThis paper investigates the role of intraday prices and volume to generate daily volatility forecasts used for individual stock trading. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. Volatility forecasts are obtained from daily returns in a GARCH equation which is augmented with several nonparametric intraday volatility measures or with volume. The overall results from various trading strategies suggest that the use of high frequency price data is not pro\u85table. The baseline GARCH forecasts outperform the intraday price augmented GARCH forecasts. However, the information content in trading activity can enhance pro\u85ts. The best performing strategies involve buying the stock when its forecasted volat...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
This study proposes a new approach to the estimation of daily volatility. This approach is efficient...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
Several recent studies advocate the use of nonparametric estimators of daily price vari- ability tha...
Several recent studies advocate the use of nonparametric estimators of daily price vari- ability tha...
Several recent studies advocate the use of nonparametric estimators of daily price variability that ...
In this paper, we develop modeling tools to forecast Value-at-Risk and volatility with investment ho...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
This paper investigates the empirical relationship between intraday volatility and trading volume. O...
This article presents a comprehensive analysis of the relative ability of three information sets—dai...
This paper investigates the empirical relationship between intraday volatility and trading volume. O...
While much research related to forecasting return volatility does so in a univariate setting, this p...
While much research related to forecasting return volatility does so in a univariate setting, this p...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
This study proposes a new approach to the estimation of daily volatility. This approach is efficient...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
This study proposes a new approach to the estimation of daily volatility. This approach is efficient...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
Several recent studies advocate the use of nonparametric estimators of daily price vari- ability tha...
Several recent studies advocate the use of nonparametric estimators of daily price vari- ability tha...
Several recent studies advocate the use of nonparametric estimators of daily price variability that ...
In this paper, we develop modeling tools to forecast Value-at-Risk and volatility with investment ho...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
This paper investigates the empirical relationship between intraday volatility and trading volume. O...
This article presents a comprehensive analysis of the relative ability of three information sets—dai...
This paper investigates the empirical relationship between intraday volatility and trading volume. O...
While much research related to forecasting return volatility does so in a univariate setting, this p...
While much research related to forecasting return volatility does so in a univariate setting, this p...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
This study proposes a new approach to the estimation of daily volatility. This approach is efficient...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...
This study proposes a new approach to the estimation of daily volatility. This approach is efficient...
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accu...