Asymptotic inference about predictive accuracy using high frequency data

DOI10.1016/J.JECONOM.2017.10.005MaRDI QIDQ1706485zbMATH OpenOpenAlexFDO

Authors Jia Li, Andrew J. Patton

Publication date 22 March 2018

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

Full work available at URL http://hdl.handle.net/10161/13188

zbMATH Keywords

jumpssemimartingalevolatilityforecast evaluationrealized variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
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Cited in

(5)

• Realized Quantiles^*
• Tests of equal accuracy for nested models with estimated factors
• Testing for jump spillovers without testing for jumps
• Using proxies to improve forecast evaluation
• On Testing Equal Conditional Predictive Ability Under Measurement Error

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