Francesca Lilla

University of Bologna - Department of Economics

PhD Student

Strada Maggiore 45

Bologna, 40125

Italy

SCHOLARLY PAPERS

1

DOWNLOADS

100

SSRN CITATIONS

0

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Scholarly Papers (1)

High Frequency vs. Daily Resolution: The Economic Value of Forecasting Volatility Models

Quaderni - Working Paper DSE N° 1099
Number of pages: 37 Posted: 10 Apr 2017
Francesca Lilla
University of Bologna - Department of Economics
Downloads 58 (411,751)

Abstract:

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GARCH, DCS, jumps, leverage effect, high frequency data, realized variation, range estimator, VaR

High Frequency vs. Daily Resolution: The Economic Value of Forecasting Volatility Models

Quaderni - Working Paper DSE N° 1084
Number of pages: 35 Posted: 17 Nov 2016
Francesca Lilla
University of Bologna - Department of Economics
Downloads 42 (475,334)

Abstract:

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GARCH, DCS, jumps, leverage effect, high frequency data, realized variation, range estimator, VaR