Xingyi Li

School of Business and Law, University of Agder

PhD Research Fellow

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N-4604 Kristiansand, VEST AGDER 4604

Norway

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Scholarly Papers (1)

1.

Forecasting Stock Market Volatility: The Gains from Using Intraday Data

Number of pages: 26 Posted: 04 Oct 2016
Xingyi Li and Valeriy Zakamulin
School of Business and Law, University of Agder and University of Agder - School of Business and Law
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Abstract:

stock markets, volatility forecasting, intraday data, realized measures of daily volatility, forecast accuracy, out-of-sample forecasting, model comparison