Open AccessModerate and Extreme Volatility: Do the Magnitude of Returns Matter for Forecasting?
Author(s) -
Adam Clements,
Rodrigo Herrera
Publication year - 2019
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3443259
Subject(s) - economics , volatility (finance) , econometrics , magnitude (astronomy) , financial economics , physics , astronomy
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom