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17-017/III - Forecasting the Volatility of Nikkei 225 Futures


  • Authors
    Manabu Asai, Soko University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Compultense University of Madrid, Spain
  • Publication date
    January 30, 2017
  • Keywords
    Forecasting; Volatility; Futures; Realized Volatility; Realized Kernel; Leverage Effects; Long Memory.
  • JEL
    C22, C53, C58, G17