Forecasting Realized Volatility: A Bayesian Model Averaging Approach
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- Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
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Keywords
power variation; bipower variation; Gibbs sampling; model risk;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2008-04-15 (Central Banking)
- NEP-ECM-2008-04-15 (Econometrics)
- NEP-ETS-2008-04-15 (Econometric Time Series)
- NEP-FOR-2008-04-15 (Forecasting)
- NEP-MST-2008-04-15 (Market Microstructure)
- NEP-RMG-2008-04-15 (Risk Management)
Statistics
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