TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2017
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/22878
AB  - For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Forecasting
KW  - Volatility
KW  - Futures
KW  - Realized volatility
KW  - Realized kernel
KW  - Leverage effects
KW  - Long memory.
TI  - Forecasting the volatility of Nikkei 225 futures
TY  - technical report
VL  - 2017
ER  -