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

DOI10.1016/J.JECONOM.2010.03.016zbMATH Open1441.62805OpenAlexW3125917875MaRDI QIDQ737263FDOQ737263

Thomas H. McCurdy, John M. Maheu

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

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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)

Cites Work

• The Distribution of Realized Exchange Rate Volatility
• Title not available (Why is that?)
• ARCH models as diffusion approximations
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Microstructure Noise, Realized Variance, and Optimal Sampling
• 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
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales
• Volatility forecasting and microstructure noise
• Power Variation and Time Change
• Ultra high frequency volatility estimation with dependent microstructure noise
• Title not available (Why is that?)
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects

Cited In (13)

• A Stochastic Volatility Model With Realized Measures for Option Pricing
• Quantile forecasts for financial volatilities based on parametric and asymmetric models
• 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
• Persistence of return distribution sequence in financial markets

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