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