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

Cai Guanghui, XU Jun, YING Xuehai

Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (7) : 1985-2005.

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Journal of Systems Science and Mathematical Sciences ›› 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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