Forecasting intra-daily volume in large panels of assets

Christian Brownlees, Gaelle Le Fol, Serge Darolles and Béatrice Sagna
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Serge Darolles: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Béatrice Sagna: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Date: 2022-05
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Published in CIREQ Econometrics Conference in Honor of Eric Renault, May 2022, Montreal, Canada

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