Browsing NTNU Open by Author "Dagsvik, Thomas Emil"
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A Study of Internet Search Volume's Contribution to Day-Ahead Volatility Forecasts
Dagsvik, Thomas Emil; Aalen, Sindre Pemmer (Master thesis, 2016)We investigate whether day-ahead forecasts of individual stocks' volatility can be improved with Internet search volume data. We extend Heterogenous Autoregressive models of Realized Volatility (HAR-RV models) with past ...