FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY

DOI10.1111/j.1467-842X.2010.00576.xzbMath1337.91062OpenAlexW2106878673MaRDI QIDQ2810422

John M. Maheu, Jonathan J. Reeves, Xuan Xie

Publication date: 1 June 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2010.00576.x

zbMATH Keywords

high-frequency dataintegrated volatilityrealised volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Predicting volatility: getting the most out of return data sampled at different frequencies
• Generalized autoregressive conditional heteroscedasticity
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient Bayesian Inference for Dynamic Mixture Models
• The Distribution of Realized Exchange Rate Volatility
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Modeling and Forecasting Realized Volatility
• End-of-Sample Instability Tests