Asymptotic inference about predictive accuracy using high frequency data

DOI10.1016/J.JECONOM.2017.10.005zbMATH Open1386.62030OpenAlexW3122840332MaRDI QIDQ1706485FDOQ1706485

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

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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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Cited In (5)

• 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
• Realized Quantiles^*

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