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pro vyhledávání: '"Teai Juin Wen"'
Publikováno v:
Business Systems Research, Vol 9, Iss 2, Pp 18-34 (2018)
Background: Since high-frequency data have become available, an unbiased volatility estimator, i.e. realized variance (RV) can be computed. Commonly used models for RV forecasting suffer from strong persistence with a high sensitivity to the returns
Externí odkaz:
https://doaj.org/article/d3ca081e79c747cf83868a536b9fe0c8
