Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
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- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
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More about this item
Keywords
Realized volatility; Forecasting; Measurement Errors; HAR; HARQ;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-04-02 (Econometrics)
- NEP-ETS-2015-04-02 (Econometric Time Series)
- NEP-FOR-2015-04-02 (Forecasting)
- NEP-ORE-2015-04-02 (Operations Research)
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