Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets
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DOI: 10.1016/j.frl.2023.103992
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More about this item
Keywords
Volatility forecasting; Realized volatility; G7 stock markets; HAR-RV-X model; Rolling methods; MCS;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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