High-Frequency Volatility Prediction Based on Mixed Frequency Sampling and Leverage Effect

Cai Guanghui, XU Jun, YING Xuehai

Journal of System Science and Mathematical Science Chinese Series ›› 2021, Vol. 41 ›› Issue (7) : 1985-2005.

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中国科学院数学与系统科学研究院期刊网
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Journal of System Science and Mathematical Science Chinese Series ›› 2021, Vol. 41 ›› Issue (7) : 1985-2005. DOI: 10.12341/jssms20219

High-Frequency Volatility Prediction Based on Mixed Frequency Sampling and Leverage Effect

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2021, 41(7): 1985-2005 https://doi.org/10.12341/jssms20219

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