Analytic Evaluation of Volatility Forecasts
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- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
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More about this item
Keywords
Continuous-time models; eigenfunction stochastic volatility models; integrated volatility; realized volatility; high-frequency data; time series forecasting; Mincer-Zarnowitz regressions; modèles à temps continu; modèles à volatilité stochastique basée sur des fonctions propres; volatilité intégrée; volatilité réalisée; données à haute fréquence; prévision de séries chronologiques; régressions de Mincer-Zarnowitz;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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-04-27 (Corporate Finance)
- NEP-ECM-2003-05-12 (Econometrics)
- NEP-ETS-2003-04-27 (Econometric Time Series)
- NEP-FIN-2003-04-27 (Finance)
- NEP-FMK-2003-04-27 (Financial Markets)
- NEP-RMG-2003-04-27 (Risk Management)
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