Out of sample forecasts of quadratic variation
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Publication:299250
DOI10.1016/J.JECONOM.2008.09.015zbMATH Open1429.62648OpenAlexW2143621568MaRDI QIDQ299250FDOQ299250
Authors: Yacine Aït-Sahalia, Loriano Mancini 
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.015
Recommendations
measurement errorrealized volatilityhigh frequency datamarket microstructure noiseout of sample forecaststwo scales realized volatility
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cited In (26)
- Combining statistical intervals and market prices: the worst case state price distribution
- Exploiting the errors: a simple approach for improved volatility forecasting
- High-frequency jump tests: which test should we use?
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Forecasting Stock Return Volatility Using the Realized Garch Model and an Artificial Neural Network
- Zero-intelligence realized variance estimation.
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- Realized volatility forecasting and market microstructure noise
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Volatility forecasting and microstructure noise
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