Realising the future : forecasting with high frequency based volatility (HEAVY) models.
This paper studies in some detail a class of high frequency based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data. Our analysis identifies that the models have momentum and mean reversion eff...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2009
|