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Using intraday data, we explore the forecast ability of one high frequency order flow imbalance measure (OI) for predicting the realized volatility of the index futures on the China Securities Index 300 (CSI 300).
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This page is a summary of: Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market, China Finance Review International, November 2020, Emerald,
DOI: 10.1108/cfri-05-2020-0049.
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