Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Hizmeri, Rodrigo"'
Publikováno v:
In Journal of Banking and Finance January 2025 170
Publikováno v:
In Journal of Empirical Finance January 2023 70:144-164
Autor:
Hizmeri, Rodrigo1 (AUTHOR), Izzeldin, Marwan2 (AUTHOR), Nolte, Ingmar2 (AUTHOR), Pappas, Vasileios3 (AUTHOR) v.pappas@kent.ac.uk
Publikováno v:
Quantitative Finance. Aug2022, Vol. 22 Issue 8, p1513-1534. 22p.
Autor:
Hizmeri, Rodrigo1, Izzeldin, Marwan2, Murphy, Anthony3 anthony.murphy@dal.frb.org, Tsionas, Mike G.4
Publikováno v:
Working Papers Series (Federal Reserve Bank of Dallas). 3/28/2019, p1-47. 48p.
Autor:
Hizmeri, Rodrigo
Over the last twenty years, the use of statistical and econometric methods for analyzing high-frequency data has increased substantially. This growth has been driven by an increase in the availability of intraday data and technological advancements.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01e4516028d93c34143cffeb0e2dfbe1
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::9f7298b10cafa9536c84f4dcbc429d06
https://hdl.handle.net/10419/193631
https://hdl.handle.net/10419/193631