Do High-Frequency Volatility Methods Improve the Accuracies of Risk Forecasts? Evidence from Stock Indexes and Portfolio

Xu, SQ; Yang, K; Zhang, YF; Li, B

Yang, K (corresponding author), Southeast Univ, Sch Econ & Management, Nanjing, Peoples R China.; Yang, K (corresponding author), Southeast Univ, Res Ctr Financial Complex & Risk Management, Nanjing, Peoples R China.

FLUCTUATION AND NOISE LETTERS, 2021; 20 (4):

Abstract

Though the high-frequency volatility approaches are increasingly introduced to forecast financial risk in recent years, whether they can improve the a......

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