Article ID Journal Published Year Pages File Type
5059813 Economics Letters 2013 5 Pages PDF
Abstract
There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the factor based approach is of significant potential interest and novelty.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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