Realized volatility forecasting and market microstructure noise (Q737278): Difference between revisions

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+https://doi.org/10.1016/j.jeconom.2010.03.032
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+W2135439816
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@@ Property / cites work @@
+Out of sample forecasts of quadratic variation
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+Handbook of economic forecasting. Volume 1
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+The Distribution of Realized Exchange Rate Volatility
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+Modeling and Forecasting Realized Volatility
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+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
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+Realized volatility forecasting and market microstructure noise
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Volatility forecasting and microstructure noise
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+A Tale of Two Time Scales
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+Publication:737278