CORDIS Project
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The project aims to enhance volatility forecasting in finance using ultra-high frequency data. It seeks to develop a framework that combines advanced statistical methods with utility functions to improve the accuracy of financial predictions.
Predicting volatility is of great importance in pricing financial derivatives, selecting portfolios, measuring and managing investment risk more accurately.
Since 1980 volatility forecasting is based on day by day datasets.
However, the last decade, the use of ultra-high frequency datasets provided more accurate volatility forecasts.
In the case where we are interested in evaluating a method’s forecasting ability, a loss function, which takes into consideration the utility of the forecasts is ma…
UNIVERSITY OF PORTSMOUTH HIGHER EDUCATION CORPORATION
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