Modeling and Forecasting the Volatility Based on High-Frequency Data

A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting

Economic Modelling ◽

10.1016/j.econmod.2012.06.029 ◽

2012 ◽

Vol 29 (6) ◽

pp. 2245-2253 ◽

Cited By ~ 30

Author(s):

Li Liu ◽

Jieqiu Wan

Keyword(s):

High Frequency ◽

Price Volatility ◽

Fuel Oil ◽

High Frequency Data ◽

Frequency Data ◽

Oil Futures ◽

Dependence Modeling ◽

Modeling And Forecasting ◽

Futures Price ◽

Fuel Oil Futures

Modeling and Forecasting the Realized Volatility of US Dollar/Canadian Dollar Using High Frequency Data

10.2139/ssrn.998584 ◽

2008 ◽

Author(s):

Jia Geng

Keyword(s):

High Frequency ◽

Realized Volatility ◽

Canadian Dollar ◽

High Frequency Data ◽

Frequency Data ◽

Modeling And Forecasting ◽

Us Dollar

Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component

Journal of Industrial Engineering and Management ◽

10.3926/jiem.2010.v3n1.p199-220 ◽

2010 ◽

Vol 3 (1) ◽

Cited By ~ 1

Author(s):

Manish Kumar

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Volatility Modeling ◽

Modeling And Forecasting

Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data

10.2139/ssrn.2188542 ◽

2012 ◽

Author(s):

Sobhesh Kumar Agarwalla ◽

Joshy Jacob ◽

Ajay Pandey

Keyword(s):

Stock Market ◽

High Frequency ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Call Auction ◽

Indian Stock Market

High Frequency Data in Finance: A Study of the Indian Equity Markets

10.2139/ssrn.300343 ◽

2003 ◽

Author(s):

Susan Thomas

Keyword(s):

High Frequency ◽

Equity Markets ◽

High Frequency Data ◽

Efficient Estimation of Volatility using High Frequency Data

10.2139/ssrn.306002 ◽

2002 ◽

Cited By ~ 12

Author(s):

Gilles O. Zumbach ◽

Fulvio Corsi ◽

Adrian Trapletti

Keyword(s):

High Frequency ◽

Efficient Estimation ◽

High Frequency Data ◽

Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

10.2139/ssrn.3099650 ◽

2017 ◽

Author(s):

Rim mname Lamouchi ◽

Russell mname Davidson ◽

Ibrahim mname Fatnassi ◽

Abderazak Ben mname Maatoug

Keyword(s):

Exchange Rate ◽

High Frequency ◽

Realized Volatility ◽

High Frequency Data ◽

Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''

10.2139/ssrn.3472122 ◽

2019 ◽

Author(s):

Z. Merrick Li ◽

Michel Vellekoop ◽

Roger Jean Auguste Laeven

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Volatility Estimation ◽

Integrated Volatility ◽

Supplementary Material

Stochastic Volatility: A Tale of Co-Jumps, Non-Normality, GMM and High Frequency Data

10.2139/ssrn.3549884 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Stochastic Volatility ◽

High Frequency ◽

High Frequency Data ◽

Profitability of Trading Strategies on High-Frequency Data, with Trading Costs

10.2139/ssrn.568363 ◽

2004 ◽

Cited By ~ 1

Author(s):

Tirthankar C. Patnaik ◽

Susan Thomas

Keyword(s):

High Frequency ◽

Trading Strategies ◽

High Frequency Data ◽

Frequency Data ◽

Trading Costs