Do short-term market swings improve realized volatility forecasts?
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DOI: 10.1016/j.frl.2023.104629
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Cited by:
- Albers, Stefan & Kestner, Lars N., 2024. "The daily rise and fall of the VIX1D: Causes and solutions of its overnight bias," Finance Research Letters, Elsevier, vol. 62(PA).
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More about this item
Keywords
Realized volatility; VIX1D index; Volatility prediction;All these keywords.
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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