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Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood

  • Gonzalez-Rivera, Gloria
  • Lee, Tae-Hwy
  • Mishra, Santosh

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File URL: http://www.sciencedirect.com/science/article/B6V92-4DNPWHV-2/2/49b9bcfa889a01e7867c77373329ddc1
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 20 (2004)
Issue (Month): 4 ()
Pages: 629-645

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Handle: RePEc:eee:intfor:v:20:y:2004:i:4:p:629-645
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  24. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO.
  25. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA.
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  28. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  29. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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  39. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
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  41. Francis X. Diebold & Andrew Hickman & Atsushi Inoue & Til Schuermann, 1997. "Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think," Center for Financial Institutions Working Papers 97-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
  42. Duan, Jin-Chuan, 1997. "Augmented GARCH (p,q) process and its diffusion limit," Journal of Econometrics, Elsevier, vol. 79(1), pages 97-127, July.
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