Volatility forecast comparison using imperfect volatility proxies (Q737280): Difference between revisions

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-.1016/j.jeconom.2010.03.034
@@ Property / DOI: 10.1016/j.jeconom.2010.03.034 / rank @@
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+Publication
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+W2167162925
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@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
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+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Handbook of econometrics. Vol. 4
@@ Property / cites work: Handbook of econometrics. Vol. 4 / rank @@
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+Realized range-based estimation of integrated variance
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+The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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+Tests of Conditional Predictive Ability
@@ Property / cites work: Tests of Conditional Predictive Ability / rank @@
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+Bootstrapping Realized Volatility
@@ Property / cites work: Bootstrapping Realized Volatility / rank @@
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+Pseudo Maximum Likelihood Methods: Theory
@@ Property / cites work: Pseudo Maximum Likelihood Methods: Theory / rank @@
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+Prediction with a Generalized Cost of Error Function
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Consistent ranking of volatility models
@@ Property / cites work: Consistent ranking of volatility models / rank @@
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+Robust Statistics
@@ Property / cites work: Robust Statistics / rank @@
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+Measuring volatility with the realized range
@@ Property / cites work: Measuring volatility with the realized range / rank @@
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+Volatility forecast comparison using imperfect volatility proxies
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+Evaluating Volatility and Correlation Forecasts
@@ Property / cites work: Evaluating Volatility and Correlation Forecasts / rank @@
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+Properties of optimal forecasts under asymmetric loss and nonlinearity
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+Q5708631
@@ Property / cites work: Q5708631 / rank @@
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+Handbook of economic forecasting. Volume 1
@@ Property / cites work: Handbook of economic forecasting. Volume 1 / rank @@
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+Asymptotic Inference about Predictive Ability
@@ Property / cites work: Asymptotic Inference about Predictive Ability / rank @@
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@@ Property / DOI @@
+.1016/J.JECONOM.2010.03.034
@@ Property / DOI: 10.1016/J.JECONOM.2010.03.034 / rank @@
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+Publication:737280