Predictive density estimators for daily volatility based on the use of realized measures

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 119-138

  Corradi, Valentina ^a   Distaso, Walter ^b   Swanson, Norman R ^c  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

^c RUTGERS UNIVERSITY   (United States)

Author keywords

Diffusions; Integrated volatility; Kernels; Microstructure noise; Realized volatility measures

Indexed keywords

ANALYTIC EVALUATIONS; ARMA MODELS; CONSISTENT ESTIMATIONS; DIEBOLD; ECONOMIC REVIEWS; HIGH-FREQUENCY DATUM; INTEGRATED VOLATILITY; KERNELS; MODEL-FREE; NON-PARAMETRIC; PREDICTIVE DENSITIES; REALIZED VOLATILITY MEASURES; SIMULATION EXPERIMENTS; SIMULATION-BASED; VOLATILITY FORECASTS;

FORECASTING; MICROSTRUCTURE;

FREQUENCY ESTIMATION;

EID: 67349157624     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.015     Document Type: Article

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