Volatility forecast comparison using imperfect volatility proxies

DOI10.1016/j.jeconom.2010.03.034zbMath1441.62830OpenAlexW2167162925MaRDI QIDQ737280

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

zbMATH Keywords

range forecast evaluation loss functions realised variance forecast comparison

Mathematics Subject Classification ID

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

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