Open AccessImproving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component
Author(s) -
M. B. Siva Kumar
Publication year - 2010
Publication title -
journal of industrial engineering and management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.385
H-Index - 29
eISSN - 2013-8423
pISSN - 2013-0953
DOI - 10.3926/jiem.2010.v3n1.p199-220
Subject(s) - volatility (finance) , autoregressive model , econometrics , realized variance , jump , forward volatility , economics , variance components , implied volatility , mathematics , statistics , physics , quantum mechanics