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

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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 (7)

• Combining statistical intervals and market prices: the worst case state price distribution
• Implied and realized volatility: empirical model selection
• Do high-frequency measures of volatility improve forecasts of return distributions?
• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return
• The relationship between return fractality and bipower variation
• The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting
• Nonlinear high-frequency stock market time series: modeling and combine forecast evaluations

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