In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...

We propose uniformly valid inference on volatility with noisy high-frequency data. We assume the observed transaction price follows a continuous-time Itô-semimartingale, contaminated by a discrete-time moving-average noise process associated with the arrival of trades. We estimate the quadratic...

This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We conduct a battery of predictability tests for US stock returns during the 1927-2012 period, proposing a novel testing procedure which: i) robustifies inference to the degree of...

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned quantities,...