Do high-frequency measures of volatility improve forecasts of return distributions?

DOI10.1016/J.JECONOM.2010.03.016MaRDI QIDQ737263zbMATH OpenOpenAlexFDO

Authors John M. Maheu, Thomas H. McCurdy

Publication date 10 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.rcea.org/RePEc/pdf/wp19_09.pdf

zbMATH Keywords

realized volatilitystochastic volatilitymultiperiod out-of-sample predictionterm structure of density forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• A Tale of Two Time Scales
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
• ARCH models as diffusion approximations
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Modeling and Forecasting Realized Volatility
• Power Variation and Time Change
• Predicting volatility: getting the most out of return data sampled at different frequencies
• The Distribution of Realized Exchange Rate Volatility
• Ultra high frequency volatility estimation with dependent microstructure noise
• Variation, jumps and high-frequency data in financial econometrics
• Volatility forecasting and microstructure noise

Cited in

(17)

• Quantile forecasts for financial volatilities based on parametric and asymmetric models
• A Stochastic Volatility Model With Realized Measures for Option Pricing
• A conditional extreme value volatility estimator based on high-frequency returns
• Measuring and Modeling Risk Using High-Frequency Data
• Realized stochastic volatility with leverage and long memory
• Dynamic quantile function models
• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
• Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
• Managing risk with a realized copula parameter
• The contribution of intraday jumps to forecasting the density of returns
• Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
• A semiparametric nonlinear quantile regression model for financial returns
• Forecasting the volatility of crude oil futures using intraday data
• High frequency-based quantile forecast and combination: an application to oil market
• Combining information at different frequencies in multivariate volatility prediction
• Persistence of return distribution sequence in financial markets
• Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components

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