A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

DOI10.1016/J.ECONLET.2013.03.051zbMath1284.62636OpenAlexW2021653076MaRDI QIDQ2442401

George Kapetanios, Alev Atak

Publication date: 3 April 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/7630/15/CC%20BY-NC-ND%204.0.pdf

zbMATH Keywords

model selectionfactor modelsrealized volatilityvolatility forecastingbipower variationjump tests

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Cites Work

• Selection of estimation window in the presence of breaks
• Consistent ranking of volatility models
• Evaluating latent and observed factors in macroeconomics and finance
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Volatility forecast comparison using imperfect volatility proxies
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
• Power Variation and Time Change
• Modeling and Forecasting Realized Volatility
• Determining the Number of Factors in Approximate Factor Models

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