Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263)
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scientific article; zbMATH DE number 6610563
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| English | Do high-frequency measures of volatility improve forecasts of return distributions? |
scientific article; zbMATH DE number 6610563 |
Statements
Do high-frequency measures of volatility improve forecasts of return distributions? (English)
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10 August 2016
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realized volatility
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multiperiod out-of-sample prediction
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term structure of density forecasts
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stochastic volatility
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0.8169355392456055
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0.8057556748390198
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0.7915657162666321
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0.7885921597480774
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0.7791587710380554
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