Realized Volatility Har Midas High Frequency
Mostrando 1-1 de 1 artigos, teses e dissertações.
-
1. Realized volatility: evidence from Brazil
Using intraday data for the most actively traded stocks on the São Paulo Stock Market (BOVESPA) index, this study considers two recently developed models from the literature on the estimation and prediction of realized volatility: the Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV), developed by Corsi (2009), and the Mixed Data Sampling m
Publicado em: 09/11/2012