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Realising the future : forecasting with high frequency based volatility (HEAVY) models.

Abstract:

This paper studies in some detail a class of high frequency based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data. Our analysis identifies that the models have momentum and mean reversion effects, and that they adjust quickly to structural breaks in the level of the volatility process. We study how to estimate the models and how they perform through the credit crunch, comparing their ...

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Volume:
438
Series:
Discussion paper series
Publication date:
2009-07-05
URN:
uuid:73c43fc6-0e4d-43a2-97d4-d6640913a8ce
Local pid:
oai:economics.ouls.ox.ac.uk:14046
Language:
English

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