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Impact of overnight information on MEM volatility prediction - MaRDI portal

Impact of overnight information on MEM volatility prediction

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DOI10.4310/SII.2008.V1.N2.A7zbMATH Open1230.91191OpenAlexW2061646951MaRDI QIDQ660060

Juan-Miguel Gracia

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2008.v1.n2.a7

zbMATH Keywords

MEM multiplicative error model overnight return volatility forecast

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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