Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors (Q5138047)
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scientific article; zbMATH DE number 7281531
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors |
scientific article; zbMATH DE number 7281531 |
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Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors (English)
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3 December 2020
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integrated volatility
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intra-day
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predicted mean-squared error
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realized volatility
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standardized prediction error criterion
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simulating forecast errors
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ultra-high frequency
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volatility forecasting evaluation
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