This paper applies the model confidence set (MCS) procedure of <link rid="b20">Hansen, Lunde and Nason (2003)</link><link rid="q1" /> to a set of volatility models. An MCS is analogous to the confidence interval of a parameter in the sense that it contains the best forecasting model with a certain probability. The key to the MCS is...

In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed that this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend...