A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

DOI10.1016/j.econlet.2013.03.051zbMath1284.62636MaRDI QIDQ2442401

George Kapetanios, Alev Atak

Publication date: 3 April 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/7630/15/CC%20BY-NC-ND%204.0.pdf

zbMATH Keywords

model selection; factor models; realized volatility; volatility forecasting; bipower variation; jump tests

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B70: Stochastic models in economics

Cites Work

• Selection of estimation window in the presence of breaks
• Consistent ranking of volatility models
• Evaluating latent and observed factors in macroeconomics and finance
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Volatility forecast comparison using imperfect volatility proxies
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
• Power Variation and Time Change
• Modeling and Forecasting Realized Volatility
• Determining the Number of Factors in Approximate Factor Models