Claim Your Author Page
Ensure your research is discoverable on Semantic Scholar. Claiming your author page allows you to personalize the information displayed and manage publications.
This paper proposes an empirical similarity approach to forecast weekly volatility by using search engine data as a measure of investors attention to the stock market index. Our model is assumption… (More)
In this paper we adapt the empirical similarity (ES) concept for the purpose of combining volatility forecasts originating from different models. Our ES approach is suitable for situations where a… (More)
Abstract This paper empirically compares the prediction power of popular high frequency measures of daily volatility, paying attention to different volatility models, loss functions and indices. We… (More)