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FX market volatility modelling: Can we use low-frequency data?
High-frequency data tend to be costly, subject to microstructure noise, difficult to manage, and lead to high computational costs. Is it always worth the extra effort? We compare the forecasting accuracy of low- and high-frequency volatility models on the market of six major foreign exchange market...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7526631/ https://www.ncbi.nlm.nih.gov/pubmed/33020698 http://dx.doi.org/10.1016/j.frl.2020.101776 |