A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
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Publication:2442401
DOI10.1016/j.econlet.2013.03.051zbMath1284.62636OpenAlexW2021653076MaRDI QIDQ2442401
Publication date: 3 April 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/7630/15/CC%20BY-NC-ND%204.0.pdf
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Cites Work
- Selection of estimation window in the presence of breaks
- Consistent ranking of volatility models
- Evaluating latent and observed factors in macroeconomics and finance
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Volatility forecast comparison using imperfect volatility proxies
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
- Power Variation and Time Change
- Modeling and Forecasting Realized Volatility
- Determining the Number of Factors in Approximate Factor Models
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