Consistent ranking of volatility models
From MaRDI portal
Publication:292007
DOI10.1016/J.JECONOM.2005.01.005zbMATH Open1337.62366OpenAlexW3123985237MaRDI QIDQ292007FDOQ292007
Authors: Peter Reinhard Hansen, Asger Lunde 
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.005
Recommendations
- On loss functions and ranking forecasting performances of multivariate volatility models
- Volatility forecast comparison using imperfect volatility proxies
- Data-based ranking of realised volatility estimators
- Forecast Evaluation in the Presence of Unobserved Volatility
- Evaluating Volatility and Correlation Forecasts
Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- The Distribution of Realized Exchange Rate Volatility
- Predictive density and conditional confidence interval accuracy tests
- A Reality Check for Data Snooping
- Asymptotic Inference about Predictive Ability
- Tests of Conditional Predictive Ability
- Predictive ability with cointegrated variables
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Prediction with a Generalized Cost of Error Function
- What good is a volatility model?
- Tests of equal forecast accuracy and encompassing for nested models
- Information criteria for selecting possibly misspecified parametric models
- On the selection of forecasting models
- Fourier series method for measurement of multivariate volatilities
- Estimation and Testing of Forecast Rationality under Flexible Loss
- Threshold heteroskedastic models
- On measuring volatility of diffusion processes with high frequency data
Cited In (39)
- Anticipating extreme losses using score-driven shape filters
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
- Realized Volatility: A Review
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- The Volatility of Realized Volatility
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Volatility forecast comparison using imperfect volatility proxies
- Using information quality for volatility model combinations
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Measuring volatility with the realized range
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
- Asymptotic inference about predictive accuracy using high frequency data
- Evaluation of volatility predictions in a VaR framework
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
- Nonparametric volatility prediction
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- Using proxies to improve forecast evaluation
- Prioritizing of volatility models: a computational analysis using data envelopment analysis
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- A copula-based approach for generating lattices
- Risk Measure Inference
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- Forecast Evaluation in the Presence of Unobserved Volatility
- Robust ranking of multivariate GARCH models by problem dimension
- Splines for financial volatility
- A GMM procedure for combining volatility forecasts
- ARFIMAX and ARFIMAX-TARCH realized volatility modeling
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Data-based ranking of realised volatility estimators
- Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- A simple joint model for returns, volatility and volatility of volatility
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Fitting a two phase threshold multiplicative error model
- Inference from high-frequency data: a subsampling approach
- On loss functions and ranking forecasting performances of multivariate volatility models
This page was built for publication: Consistent ranking of volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q292007)
