Forecasting return volatility in the presence of microstructure noise

DOI10.4310/SII.2010.V3.N2.A2zbMATH Open1245.91101OpenAlexW2019929959MaRDI QIDQ440195FDOQ440195

Authors: Zhixin Kang, Lan Zhang, Rong Chen 

Publication date: 18 August 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2010.v3.n2.a2

Recommendations

• Realized volatility forecasting and market microstructure noise
• Modeling and Forecasting Realized Volatility
• Volatility forecasting and microstructure noise
• Forecasting realized volatility: a review
• Fourier volatility forecasting with high-frequency data and microstructure noise

zbMATH Keywords

forecastingreturn volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Cited In (2)

• Combining statistical intervals and market prices: the worst case state price distribution
• Implied and realized volatility: empirical model selection

This page was built for publication: Forecasting return volatility in the presence of microstructure noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q440195)