Results for Realized volatility

Publications & Outputs

1. A generalized heterogeneous autoregressive model using market information

   Hizmeri, R., Izzeldin, M., Nolte, I. & Pappas, V., 31/08/2022, In: Quantitative Finance. 22, 8, p. 1513-1534 22 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review

2. A Generalized Heterogeneous Autoregressive Model using the Market Index

   Hizmeri, R., Izzeldin, M., Nolte, I. & Pappas, V., 31/08/2022, In: Quantitative Finance. 22, 8, p. 1513-1534 22 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review

3. Essays on High Frequency Financial Econometrics: (Co)Jumps, Aggregation, Asymmetry and Measurement Error

   Hizmeri, R., 2021, Lancaster University. 273 p.

   Research output: Thesis › Doctoral Thesis

4. A novel cluster HAR-type model for forecasting realized volatility

   Yao, X., Izzeldin, M. & Li, Z., 1/10/2019, In: International Journal of Forecasting. 35, p. 1318-1331 14 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review

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

   Hizmeri, R., Izzeldin, M., Murphy, A. & Tsionas, M., 1/05/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

   Research output: Working paper