Box-Cox transforms for realized volatility

DOI10.1016/J.JECONOM.2010.03.026MaRDI QIDQ737272zbMATH OpenOpenAlexFDO

Authors Sílvia Gonçalves, Nour Meddahi

Publication date 10 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.03.026

zbMATH Keywords

Box-Cox transformationrealized volatilityEdgeworth expansions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5198657 (Why is no real title available?)
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Bootstrapping Realized Volatility
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Effects of transformations in higher order asymptotic expansions
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• On the Formulation of Wald Tests of Nonlinear Restrictions
• Power Transformations to Induce Normality and their Applications
• TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
• The Distribution of Realized Exchange Rate Volatility
• The bootstrap and Edgeworth expansion

Cited in

(4)

• Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
• Empirical likelihood for high frequency data
• Testing for the Box-Cox parameter for an integrated process
• Out of sample forecasts of quadratic variation

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