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dc.contributor.authorTodorova, Neda
dc.contributor.authorSoucek, Michael
dc.date.accessioned2017-05-03T16:07:43Z
dc.date.available2017-05-03T16:07:43Z
dc.date.issued2014
dc.identifier.issn0264-9993
dc.identifier.doi10.1016/j.econmod.2013.10.003
dc.identifier.urihttp://hdl.handle.net/10072/62941
dc.description.abstractIntraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range adjusted for discrete trading is augmented by each of these variables and compared with the model's default form. The results show that the considered liquidity measures lead to very modest improvements in forecasting performance. The overnight returns exhibit some in-sample forecasting power. However, the accuracy improvement of out-of-sample forecasts is unequivocally non-significant.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent406593 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.publisher.placeNetherlands
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom332
dc.relation.ispartofpageto340
dc.relation.ispartofjournalEconomic Modelling
dc.relation.ispartofvolume36
dc.rights.retentionY
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150201
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1403
dc.subject.fieldofresearchcode1502
dc.titleThe impact of trading volume, number of trades and overnight returns on forecasting the daily realized range
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© 2014 Elsevier Inc. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
gro.date.issued2015-02-06T01:36:27Z
gro.hasfulltextFull Text
gro.griffith.authorTodorova, Neda


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