Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors (Q5138047)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7281531
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors |
scientific article; zbMATH DE number 7281531 |
Statements
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors (English)
0 references
3 December 2020
0 references
integrated volatility
0 references
intra-day
0 references
predicted mean-squared error
0 references
realized volatility
0 references
standardized prediction error criterion
0 references
simulating forecast errors
0 references
ultra-high frequency
0 references
volatility forecasting evaluation
0 references
0 references
0 references
0 references
0.8780283
0 references
0.87669647
0 references
0.87573624
0 references
0.8718051
0 references
0.8687982
0 references
0.8683043
0 references
0.86742944
0 references
0.86646247
0 references
