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Description
JEL C10 * G20
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This research, which aims at forecasting intra-daily volatility of returns, shows that realized volatility seems to be the best methodology to predict high frequency volatility compared to more sophisticated models like the UHF-GARCH processes. When analyzing intra-day observations, the information sometimes arrives in clusters and at different time intervals. This problem is called "time deformation" because that time is not the same... |
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