Asymptotic inference about predictive accuracy using high frequency data
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Publication:1706485
DOI10.1016/j.jeconom.2017.10.005zbMath1386.62030OpenAlexW3122840332MaRDI QIDQ1706485
Publication date: 22 March 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10161/13188
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Related Items (4)
Using proxies to improve forecast evaluation ⋮ On Testing Equal Conditional Predictive Ability Under Measurement Error ⋮ Testing for Jump Spillovers Without Testing for Jumps ⋮ Tests of equal accuracy for nested models with estimated factors
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