Mixed-Frequency Volatility Model
The MF-MoP model, based on predictability momentum, is more effective than GARCH and Realized GARCH models in predicting financial asset volatility.
Featured in No. 41 on 20 Mar 2024 ·
- Released
- 1 Apr 2023
- First featured
- No. 41 · 20 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 17
- Identifier
- RePEc:taf:reroxx:v:36:y:2023:i:1:p:2117228
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