Predictive Inference for Integrated Volatility

DOI10.1198/jasa.2011.tm10012zbMath1233.62149OpenAlexW2112619892MaRDI QIDQ3225812

Norman R. Swanson, Walter Distaso, Valentina Corradi

Publication date: 22 March 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2011.tm10012

zbMATH Keywords

diffusionkerneljumpmicrostructure noiserealized volatility measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Related Items (11)

Out of sample forecasts of quadratic variation ⋮ Realized volatility forecasting and option pricing ⋮ Conditional quantile analysis for realized GARCH models ⋮ Asymptotic inference about predictive accuracy using high frequency data ⋮ Testing for Jump Spillovers Without Testing for Jumps ⋮ Realized Volatility: A Review ⋮ The Volatility of Realized Volatility ⋮ International market links and volatility transmission ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Realized volatility forecasting and market microstructure noise ⋮ Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

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