A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (Q2442401)
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scientific article; zbMATH DE number 6278016
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| English | A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors |
scientific article; zbMATH DE number 6278016 |
Statements
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (English)
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3 April 2014
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realized volatility
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bipower variation
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jump tests
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factor models
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volatility forecasting
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model selection
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0.88613385
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0.8848238
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0.88258815
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0.8799164
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0.87655455
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0.8709355
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0.87014973
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0.8630149
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0.86277246
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