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This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts of latent target variables. Such applications include the forecasting of volatility, correlation, beta, quadratic variation, jump...
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of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of …
Persistent link: https://www.econbiz.de/10012215377
of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of …
Persistent link: https://www.econbiz.de/10012042424
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