Integrated variance forecasting: model based vs. reduced form

DOI10.1016/J.JECONOM.2011.02.004zbMATH Open1441.62266OpenAlexW3124875007MaRDI QIDQ737909FDOQ737909

Authors: Natalia Sizova 

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.004

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zbMATH Keywords

model misspecificationhigh-frequency datavolatility forecastingreduced-form methods

Mathematics Subject Classification ID

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

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Alternative models for stock price dynamics.
• Filtering via Simulation: Auxiliary Particle Filters
• Out of sample forecasts of quadratic variation
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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• A Tale of Two Time Scales
• Realized volatility forecasting and market microstructure noise
• Modelling the persistence of conditional variances
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Diffusions with measurement errors. II. Optimal estimators
• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• ARMA representation of integrated and realized variances
• Nonlinear State-Space Models With State-Dependent Variances
• Testing Forecast Optimality Under Unknown Loss
• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
• Properties of optimal forecasts under asymmetric loss and nonlinearity
• Asymptotic Filtering Theory for Univariate Arch Models
• Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model

Cited In (3)

• Exploiting the errors: a simple approach for improved volatility forecasting
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
• Lassoing the HAR model: a model selection perspective on realized volatility dynamics

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