Rodrigo Hizmeri

Lancaster University

Economics Department,

LUMS,

Bailrigg Lancaster, LA1 4YX

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

203

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

Number of pages: 47 Posted: 01 May 2019
Lancaster University, Lancaster University Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 34 (513,930)

Abstract:

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realized volatility, signed jumps, finite jumps, infinite jumps, volatility forecasts, noise-robust volatility, model averaging

The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

FRB of Dallas Working Paper No. 1902
Number of pages: 48 Posted: 22 Apr 2019 Last Revised: 29 Apr 2020
Lancaster University, Lancaster University Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 30 (535,927)

Abstract:

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Realized Volatility, Signed Jumps, Finite Jumps, Infinite Jumps, Volatility Forecasts, Noise-Robust Volatility, Model Averaging

2.

A Generalized Heterogeneous Autoregressive Model using the Market Index

Number of pages: 47 Posted: 18 Dec 2019
Lancaster University, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and University of Kent, Kent Business School
Downloads 59 (402,269)

Abstract:

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Realized Volatility, Micro-structure Noise, Pre-Averaged Estimators, Semi-variances, Semicovariances, Volatility Forecasting, Economic Value, Volatility-Timing Strategy

3.

Forecasting the Realized Variance in the Presence of Intraday Periodicity

Number of pages: 41 Posted: 11 Jun 2019
Ana-Maria H. Dumitru, Rodrigo Hizmeri and Marwan Izzeldin
University of Surrey, School of Economics, Lancaster University and Lancaster University Management School
Downloads 34 (501,910)

Abstract:

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realized volatility, heterogeneous autoregressive models, intraday periodicity, forecast, realized jumps

4.

A Simple Model Correction for Modelling and Forecasting (Un)Reliable Realized Volatility

Number of pages: 37 Posted: 01 Aug 2020
Rodrigo Hizmeri, Marwan Izzeldin and Mike Tsionas
Lancaster University, Lancaster University Management School and Lancaster University
Downloads 26 (544,885)

Abstract:

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Realized Volatility, Forecasting, Measurement Error, HAR, GARCH, HARQ, DBC-HAR

5.

Evaluating the Underlying Components of High Frequency Financial Data: Finite Sample Performance and Microstructure Noise Effects

Number of pages: 37 Posted: 03 Aug 2020
Rodrigo Hizmeri and Marwan Izzeldin
Lancaster University and Lancaster University Management School
Downloads 20 (582,917)

Abstract:

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high-frequency data, infinite jumps, finite jumps, Brownian motion, microstructure noise, continuous-time-models