Modelling and forecasting noisy realized volatility
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Publication:429642
DOI10.1016/J.CSDA.2011.06.024zbMATH Open1241.91135OpenAlexW3125037581MaRDI QIDQ429642FDOQ429642
Authors: Manabu Asai, Michael McAleer, Marcelo C. Medeiros 
Publication date: 20 June 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.024
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forecastinggoodness-of-fitrealized volatilitydiffusionmeasurement errorsfinancial econometricsmodel evaluation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (24)
- Realized Volatility: A Review
- Exploiting the errors: a simple approach for improved volatility forecasting
- A CUSUM test for a long memory heterogeneous autoregressive model
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Realized stochastic volatility with leverage and long memory
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
- A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
- The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
- Title not available (Why is that?)
- Specification and structural break tests for additive models with applications to realized variance data
- Realized stochastic volatility with general asymmetry and long memory
- Forecasting volatility in the presence of model instability
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Infinite-order, long-memory heterogeneous autoregressive models
- Forecasting realized volatility: a review
- Volatility analysis for the GARCH-Itô model with option data
- Market calibration under a long memory stochastic volatility model
- Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Modeling and Forecasting Realized Volatility
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
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