Forecasting return volatility in the presence of microstructure noise

DOI10.4310/SII.2010.V3.N2.A2MaRDI QIDQ440195zbMATHOpenAlexFDO

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

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)

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Cited in

(7)

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

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