Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors

DOI10.1080/02664763.2015.1079306OpenAlexW2265546336MaRDI QIDQ5138047

Alexandra Livada, Stavros Degiannakis

Publication date: 3 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/67968/1/MPRA_paper_67968.pdf

zbMATH Keywords

realized volatilityintegrated volatilityintra-daypredicted mean-squared errorsimulating forecast errorsstandardized prediction error criterionultra-high frequencyvolatility forecasting evaluation

Mathematics Subject Classification ID

Statistics (62-XX)

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