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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/pii/S0169-2070(03)00142-0
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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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  14. Fitzenberger, Bernd, 1998. "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions," Journal of Econometrics, Elsevier, vol. 82(2), pages 235-287, February.
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  18. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
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  24. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May.
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  27. Skouras, Spyros, 2007. "Decisionmetrics: A decision-based approach to econometric modelling," Journal of Econometrics, Elsevier, vol. 137(2), pages 414-440, April.
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  38. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
  39. Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
  40. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  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. Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-66, December.
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