Rolling-sample volatility estimators: Some new theoretical, simulation, and empirical results

Journal of Business and Economic Statistics

Volumn 20, Issue 3, 2002, Pages 363-376

  Andreou, Elena ^a   Ghysels, Eric ^a  

^a UNIVERSITY OF CYPRUS   (Cyprus)

Author keywords

Continuous record asymptotics; Efficient filtering; High frequency data; Quadratic variation; Rolling sample estimators; Volatility

Indexed keywords

EID: 0035998186     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500102288618504     Document Type: Article

References (20)

1. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
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4. Rolling sample volatility estimators: Some new theoretical, simulation and empirical results
5. Prediction in dynamic models with time dependent conditional variances
6. Variance function estimation
7. Temporal aggregation of GARCH processes
8. Closing the GARCH gap: Continuous time GARCH modeling
9. Continuous record asymptotics for rolling sample estimators
10. Expected stock returns and volatility
11. Stock prices and volume
12. Chaos and nonlinear dynamics: Application to financial markets
13. The evaluation of economic forecasts and expectations
14. On estimating the expected return on the market: An exploratory investigation
15. The persistence of volatility and stock market fluctuations
16. Why does stock market volatility change over time?