Out of sample forecasts of quadratic variation
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Publication:299250
DOI10.1016/j.jeconom.2008.09.015zbMath1429.62648OpenAlexW2143621568MaRDI QIDQ299250
Yacine Aït-Sahalia, Loriano Mancini
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.015
measurement errorhigh frequency datamarket microstructure noiserealized volatilityout of sample forecaststwo scales realized volatility
Applications of statistics to economics (62P20) 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)
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