Modelling and forecasting noisy realized volatility

DOI10.1016/j.csda.2011.06.024zbMath1241.91135MaRDI QIDQ429642

Michael McAleer, Manabu Asai, Marcelo C. Medeiros

Publication date: 20 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.024

zbMATH Keywords

diffusion; goodness-of-fit; forecasting; measurement errors; realized volatility; financial econometrics; model evaluation

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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