Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/339002 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Working Paper No. 12/2025
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
This paper proposes a mixed-frequency stochastic volatility model for intraday returns that captures fast and slow level shifts in the volatility level induced by news from both low-frequency variables and scheduled announcements. A MIDAS component describes slow-moving changes in volatility driven by daily variables, while an announcement component captures fast eventdriven volatility bursts. Using 5-minute crude oil futures returns, we show that accounting for both fast and slow level shifts significantly improves volatility forecasts at intraday and daily horizons. The superior forecasts also translate into higher Sharpe ratios using the volatilitymanaged portfolio strategy.
Schlagwörter: 
Intraday volatility
high-frequency
announcements
MIDAS
oil
sparsity
JEL: 
C22
C52
C58
G32
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.