Predicting volatility: getting the most out of return data sampled at different frequencies
نویسندگان
چکیده
منابع مشابه
Portfolio Allocation: Getting the most out of realised volatility
Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive economic value in the context of portfolio allocation. This paper considers the link between the value of such forecasts and the loss function under which m...
متن کاملGetting the most out of your permanent plot data
A catalogue of ideas for graphical analyses of growth data is presented, in the hope of stimulating the more imaginative analyses. Graphs can be particularly revealing, because the human eye is good at detecting patterns. Suggestions are given to make graphs more effective, and analyses more insightful.
متن کاملGetting the most out of RNA-seq data analysis
Background. A common research goal in transcriptome projects is to find genes that are differentially expressed in different phenotype classes. Biologists might wish to validate such gene candidates experimentally, or use them for downstream systems biology analysis. Producing a coherent differential gene expression analysis from RNA-seq count data requires an understanding of how numerous sour...
متن کاملModeling and forecasting realized volatility: getting the most out of the jump component
Modeling and forecasting realized volatility is of paramount importance. Recent econometric developments allow total volatility to be decomposed into its’ constituent continuous and jump components. While previous studies have examined the role of both components in forecasting, little analysis has been undertaken into how best to harness the jump component. This paper considers how to get the ...
متن کاملGetting the most out of C.O.A.S.T
PREFACE The work described in this thesis was carried out under the supervision of Dr P. The work is my own except where otherwise stated and was not done in collaboration with others. It is the not the same as any other dissertation submitted for a degree, diploma or any other qualification at any university. This thesis does not exceed 60 000 words. ORIGINALITY Chapter 1 is a review of develo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2006
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2005.01.004