Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - In: Journal of Econometrics 150 (2009) 2, pp. 119-138
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen et al. [Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P., 2003. Modelling and forecasting realized...
