Intraday volatility forecasting: analysis of alternative distributions
Volatility forecasting has been of great interest both in academic and professional fields all over the world. However, there is no agreement about the best model to estimatevolatility. New models include measures of skewness, changes of regimes and different distributions; few studies, though, have...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2011-06-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2586/2216 |