Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

DOI10.1111/j.1468-0262.2005.00572.xzbMath1152.91720OpenAlexW2104486676MaRDI QIDQ5393915

Tim Bollerslev, Nour Meddahi, Torben G. Andersen

Publication date: 24 October 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/2860/1/abm2_Econometrica.pdf

zbMATH Keywords

high-frequency data time series forecasting realized volatility integrated volatility continuous-time models Mincer-Zarnowitz regressions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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