Add to ORKGThis study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, and intraday returns.Master of Science (Financial Engineering
This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatil...
This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatil...
The increasing availability of financial market data at intraday frequencies has not only led to the...
This article focuses on some aspects of high-frequency data and their use in volatility forecasting....
The aim of this dissertation is to construct different intraday volatility forecasting techniques fo...
The aim of this dissertation is to construct different intraday volatility forecasting techniques fo...
This paper investigates the role of intraday prices and volume to generate daily volatility forecast...
We develop a nonparametric test for whether return volatility exhibits time-varying intraday periodi...
The increasing availability of financial market data at intraday frequencies has not only led to the...
The daily volatility is typically unobserved but can be estimated using high frequent tick-by-tick d...
The increasing availability of financial market data at intraday frequencies has not only led to the...
Many ways exist to measure and model financial asset volatility. In principle, as the frequency of t...
This study proposes a new approach to the estimation of daily volatility in financial markets. To do...
The increasing availability of financial market data at intraday frequencies has not only led to the...
Thesis (M.Sc. (Risk Analysis))--North-West University, Potchefstroom Campus, 2006.Financial market v...
This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatil...
This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatil...
The increasing availability of financial market data at intraday frequencies has not only led to the...
This article focuses on some aspects of high-frequency data and their use in volatility forecasting....
The aim of this dissertation is to construct different intraday volatility forecasting techniques fo...
The aim of this dissertation is to construct different intraday volatility forecasting techniques fo...
This paper investigates the role of intraday prices and volume to generate daily volatility forecast...
We develop a nonparametric test for whether return volatility exhibits time-varying intraday periodi...
The increasing availability of financial market data at intraday frequencies has not only led to the...
The daily volatility is typically unobserved but can be estimated using high frequent tick-by-tick d...
The increasing availability of financial market data at intraday frequencies has not only led to the...
Many ways exist to measure and model financial asset volatility. In principle, as the frequency of t...
This study proposes a new approach to the estimation of daily volatility in financial markets. To do...
The increasing availability of financial market data at intraday frequencies has not only led to the...
Thesis (M.Sc. (Risk Analysis))--North-West University, Potchefstroom Campus, 2006.Financial market v...
This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatil...
This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatil...
The increasing availability of financial market data at intraday frequencies has not only led to the...