Publication | Closed Access

Volatility forecasting using threshold heteroskedastic models of the intra-day range

Forecasting MethodologyVolatility ModelingMultivariate Stochastic VolatilityEngineeringAsset PricingFinanceEconomic ForecastingPredictive AnalyticsThreshold Heteroskedastic ModelsBusinessEconometricsForecastingStatisticsTime Series EconometricsHigh-frequency Financial Econometrics