Rodrigo Hizmeri

Lancaster University

Economics Department,

LUMS,

Bailrigg Lancaster, LA1 4YX

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

48

CITATIONS

0

Scholarly Papers (2)

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 20 (532,753)

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
Lancaster University, Lancaster University Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 19 (539,210)

Abstract:

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

2.

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 9 (580,637)

Abstract:

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