Volatility forecast comparison using imperfect volatility proxies
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Publication:737280
DOI10.1016/J.JECONOM.2010.03.034zbMATH Open1441.62830OpenAlexW2167162925MaRDI QIDQ737280FDOQ737280
Authors: Andrew J. Patton 
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.454.8752
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Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (only showing first 100 items - show all)
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- A generalized heterogeneous autoregressive model using market information
- Overnight GARCH-Itô Volatility Models
- Forecasting realised volatility using ARFIMA and HAR models
- Multivariate leverage effects and realized semicovariance GARCH models
- Economic policy uncertainty and emerging stock market volatility
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Choosing between persistent and stationary volatility
- Accelerating score-driven time series models
- Using information quality for volatility model combinations
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Generic Conditions for Forecast Dominance
- Comparing Possibly Misspecified Forecasts
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Title not available (Why is that?)
- Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
- Coupled GARCH(1,1) model
- A GMM approach to estimate the roughness of stochastic volatility
- Evaluation of volatility predictions in a VaR framework
- Financial clustering in presence of dominant markets
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Iterative QML estimation for asymmetric stochastic volatility models
- Periodic autoregressive conditional duration
- Nonparametric volatility prediction
- Optimal estimating function for weak location‐scale dynamic models
- Using proxies to improve forecast evaluation
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
- Improving forecasts with the co-range dynamic conditional correlation model
- Non-parametric news impact curve: a variational approach
- Capturing measurement error bias in volatility forecasting by realized GARCH models
- Risk Measure Inference
- Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis
- Estimation and decomposition of food price inflation risk
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- A Stochastic Volatility Model With a General Leverage Specification
- Dynamic Discrete Mixtures for High-Frequency Prices
- Realized Quantiles*
- Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
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- High-frequency-based volatility model with network structure
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
- Time-varying forecasts by variational approximation of sequential Bayesian inference
- Local scale invariance and robustness of proper scoring rules
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Comparing and combining realized measure and implied volatility for volatility prediction
- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- Inference on GARCH-MIDAS models without any small-order moment
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
- Volatility prediction based on scheduled macroeconomic announcements
- Optimal operational service levels in vendor managed inventory contracts -- an exact approach
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
- Testing the predictive ability of corridor implied volatility under GARCH models
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- On the universality of the volatility formation process: when machine learning and rough volatility agree
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
- Realized Volatility: A Review
- On the use of non-linear transformations in stochastic volatility models
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- A neural network enhanced volatility component model
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Volatility forecast comparison using imperfect volatility proxies
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Score-driven models for realized volatility
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
- Functional GARCH models: the quasi-likelihood approach and its applications
- Measuring volatility with the realized range
- Consistent ranking of volatility models
- Extended stochastic volatility models incorporating realised measures
- Realized stochastic volatility with leverage and long memory
- Asymptotic inference about predictive accuracy using high frequency data
- Forecast dominance testing via sign randomization
- Macroeconomic fundamentals, jump dynamics and expected volatility
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Sequential conditional correlations: inference and evaluation
- Local \(M\)-estimation for conditional variance function with dependent data
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
- Multivariate geometric expectiles
- Volatility models for stylized facts of high‐frequency financial data
- Simple factor realized stochastic volatility models
- Evaluating Volatility and Correlation Forecasts
- Volatility measurement with pockets of extreme return persistence
- Generalized dynamic factor models and volatilities: estimation and forecasting
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
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