Modelling and Forecasting Noisy Realized Volatility
Year of publication: |
2011
|
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Authors: | Asai, Manabu ; McAleer, Michael ; Medeiros, Marcelo C. |
Institutions: | Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid |
Subject: | realized volatility | diffusion | financial econometrics | measurement errors | forecasting | model evaluation | goodness-of-fit |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2011-09 37 pages |
Classification: | G32 - Financing Policy; Capital and Ownership Structure ; G11 - Portfolio Choice ; G17 - Financial Forecasting ; C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models |
Source: |
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Modelling and Forecasting Noisy Realized Volatility
Asai, Manabu, (2011)
-
Modelling and Forecasting Noisy Realized Volatility
Asai, Manabu, (2011)
-
Modelling and Forecasting Noisy Realized Volatility
Asai, Manuabu, (2010)
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu, (2015)
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Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu, (2012)
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Asymmetry and Long Memory in Volatility Modelling
Asai, Manabu, (2011)
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