Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

François-Éric Racicot (), Raymond Théoret () and Alain Coën ()

International Advances in Economic Research, 2008, vol. 14, issue 1, pages 112-124

Keywords: Realized volatility; UHF-GARCH; Time deformation; Financial markets; Daily VaR; Historical simulation; C10; G20 (search for similar items in EconPapers)
Date: 2008
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Working Paper: Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models (2006)
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