Listar por tema "realized volatility"
Mostrando ítems 1-2 de 2
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Forecasting Daily variations of Stock Index Returns with a Multifractal Model of Realized Volatility
John Wiley & Sons (2014-09)Multifractal models have recently been introduced as a new type of data-generating process for asset returns and other financial data. Here we propose an adaptation of this model for realized volatility. We estimate this ... -
The influence of intraday seasonality on volatility transmission patterns
Taylor & Francis (2018)Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences ...