On the relevance of realized quarticity for exchange rate volatility forecasts
High-frequency tick data have proved helpful for forecasting volatility across asset classes. In the finite samples typically faced by practitioners, however, noise inherent in tick-level prices creates inaccuracies in model parameter estimates and resulting forecasts. A remedy proposed to alleviate...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2024-10-01
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| Series: | Data Science in Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/DSFE.2024021 |
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