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The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data

Varneskov, Rasmus Tangsgaard - School of Economics and Management, University of Aarhus - 2010

This paper considers the performance of different long-memory dynamic models when forecasting volatility in the stock … noise. A comparison between a class of HAR- and ARFIMA models is facilitated on the basis of out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10008462019

The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks

Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010

This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and \model-free" implied volatility expectations, the recently proposed corridor...

Persistent link: https://www.econbiz.de/10008462027

The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts

Varneskov, Rasmus Tangsgaard; Voev, Valeri - School of Economics and Management, University of Aarhus - 2010

been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data … address, is the relative importance of the quality of the realized measure as an input in a given forecasting model vs. the …

Persistent link: https://www.econbiz.de/10008462028

On the Economic Evaluation of Volatility Forecasts

Voev, Valeri - School of Economics and Management, University of Aarhus - 2009

evaluation. An important implication is that forecasting superiority of models using high frequency data is likely to be …

Persistent link: https://www.econbiz.de/10008491711

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2007

facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the …

Persistent link: https://www.econbiz.de/10005440033