Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
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- Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
- John M Maheu & Thomas H McCurdy, 2008. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers tecipa-324, University of Toronto, Department of Economics.
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More about this item
Keywords
Realized Volatility; multiperiod out-of-sample prediction; term structure of density forecasts; Stochastic Volatility;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G1 - Financial Economics - - General Financial Markets
Statistics
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