Volatility forecast comparison using imperfect volatility proxies

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 246-256

  Patton, Andrew J ^a,b  

^a DUKE UNIVERSITY   (United States)

^b UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Forecast comparison; Forecast evaluation; Loss functions; Range; Realised variance

Indexed keywords

FORECAST COMPARISONS; FORECAST EVALUATION; LOSS FUNCTIONS; RANGE; REALISED VARIANCE;

FORECASTING;

FUNCTION EVALUATION;

EID: 78649732201     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.034     Document Type: Conference Paper

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