Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5059813 | Economics Letters | 2013 | 5 Pages |
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Alev Atak, George Kapetanios,