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Forecasting daily volatility with intraday data
B Frijns
, D Margaritis
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Dive into the research topics of 'Forecasting daily volatility with intraday data'. Together they form a unique fingerprint.
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Keyphrases
Volatility
100%
Daily Volatility
100%
Intraday Data
100%
Intraday Volatility
50%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
50%
Explanatory Power
25%
NASDAQ
25%
American Statistical Association
25%
Exchange Rate Volatility
25%
Dealer Markets
25%
Continuous Auction
25%
Seasonal Pattern
25%
Paris Bourse
25%
Auction Market
25%
Realized Volatility Measures
25%
Mathematics
GARCH Model
100%
Explanatory Power
100%
Seasonal Pattern
100%
Computer Science
Explanatory Power
100%
Seasonal Pattern
100%
Economics, Econometrics and Finance
Volatility
100%
Generalized Autoregressive Conditional Heteroskedasticity
10%
ARCH Model
10%
Auction
10%
Exchange Rate Volatility
10%