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Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics : international evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - 2007

Persistent link: https://www.econbiz.de/10003729191

Askanazi, Ross - 2018

We explore interval forecast comparison when the nominal conﬁdence level is speciﬁed, but the quantiles on which … forecast comparison fail them. Our negative results strengthen the case for abandoning interval forecasts in favor of density …

Persistent link: https://www.econbiz.de/10012913460

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001899970

Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003

Persistent link: https://www.econbiz.de/10001846702

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003 - This version: September 2003

A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...

Persistent link: https://www.econbiz.de/10009764770