Exploiting the errors: a simple approach for improved volatility forecasting
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Cites work
- A Reality Check for Data Snooping
- A robust neighborhood truncation approach to estimation of integrated quarticity
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A Tale of Two Time Scales
- Bootstrapping Realized Volatility
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Data-based ranking of realised volatility estimators
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
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- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Integrated variance forecasting: model based vs. reduced form
- Jump tails, extreme dependencies, and the distribution of stock returns
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- Modeling and Forecasting Realized Volatility
- Modelling and forecasting noisy realized volatility
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Out of sample forecasts of quadratic variation
- Realized kernels in practise : trades and quotes
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Cited in
(61)- Forecasting realized volatility: a review
- Forecasting financial market volatility using a dynamic topic model
- Testing for nonlinearity in conditional covariances
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Incorporating realized quarticity into a realized stochastic volatility model
- From zero to hero: realized partial (co)variances
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Financial modelling, risk management of energy instruments and the role of cryptocurrencies
- Directed acyclic graph based information shares for price discovery
- Asymptotic results for the Fourier estimator of the integrated quarticity
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- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
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- Flexible HAR model for realized volatility
- The benefits of bagging for forecast models of realized volatility
- The Volatility of Realized Volatility
- Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting
- Modelling and forecasting noisy realized volatility
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- A neural network enhanced volatility component model
- High-dimensional realized covariance estimation: a parametric approach
- Time series models for realized covariance matrices based on the matrix-F distribution
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- Sparse change-point HAR models for realized variance
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- Predicting stock realized variance based on an asymmetric robust regression approach
- Bootstrapping Laplace transforms of volatility
- Volatility measurement with pockets of extreme return persistence
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas
- Score-driven models for realized volatility
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- A nonparametric predictive regression model using partitioning estimators based on Taylor expansions
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- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
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- A dynamic state-space HAR model
- Option pricing with deep learning: a long short-term memory approach
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