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Forecasting realized volatility using IV, Overnight Returns and Leverage Effect
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Forecasting realized volatility using IV…
Vertox
Jun 27, 2023
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Forecasting realized volatility using IV, Overnight Returns and Leverage Effect
www.vertoxquant.com
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We use exegenous variables to improve the predictive power of a HAR model.
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Forecasting realized volatility using IV, Overnight Returns and Leverage Effect
Forecasting realized volatility using IV…
Forecasting realized volatility using IV, Overnight Returns and Leverage Effect
We use exegenous variables to improve the predictive power of a HAR model.