Realized volatility forecasting in an international context

Nick Taylor

Applied Economics Letters, 2015, vol. 22, issue 6, 503-509

Abstract: The value of overseas information within a volatility forecasting setting is examined. The article innovates by considering the forecasting performance of an augmented version of a popular realized volatility model in which this information is incorporated. An application based on realized volatility data from 13 international stock markets demonstrates that this volatility model delivers improved out-of-sample forecasts.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2014.952887 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:22:y:2015:i:6:p:503-509

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2014.952887

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().