Out of sample forecasts of quadratic variation

Journal of Econometrics

Volumn 147, Issue 1, 2008, Pages 17-33

  Aït Sahalia, Yacine ^a,b   Mancini, Loriano ^c  

^a PRINCETON UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

High frequency data; Market microstructure noise; Measurement error; Out of sample forecasts; Realized volatility; Two scales realized volatility

Indexed keywords

MICROSTRUCTURE;

HIGH FREQUENCY DATA; MARKET MICROSTRUCTURE NOISE; OUT OF SAMPLE FORECASTS; REALIZED VOLATILITY; TWO SCALES REALIZED VOLATILITY;

FORECASTING;

EID: 55349147645     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.09.015     Document Type: Article

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