Realising the future: forecasting with high-frequency-based volatility (HEAVY) models
Article first published online: 27 JAN 2010
Copyright © 2010 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 25, Issue 2, pages 197–231, March 2010
How to Cite
Shephard, N. and Sheppard, K. (2010), Realising the future: forecasting with high-frequency-based volatility (HEAVY) models. J. Appl. Econ., 25: 197–231. doi: 10.1002/jae.1158
- Issue published online: 27 JAN 2010
- Article first published online: 27 JAN 2010
- Manuscript Revised: 8 OCT 2009
- Manuscript Received: 10 JUL 2009
The JAE Data Archive directory is available at http://qed.econ.queensu.ca/jae/datasets/shephard001/ .
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