Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon

Journal of Empirical Finance

Volumn 6, Issue 5, 1999, Pages 457-477

  Andersen, Torben G ^a   Bollerslev, Tim ^b,c   Lange, Steve ^d  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^d UNIVERSITY OF VIRGINIA   (United States)

Author keywords

C15; C22; Financial market volatility; Forecast horizon; G15; Integrated volatility

Indexed keywords

EID: 0041308591     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(99)00013-4     Document Type: Article

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