Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective

DOI10.1016/j.jeconom.2023.105633arXiv2110.01189MaRDI QIDQ6150535

Ran An, Ziwei Zhu, Wei-Chen Wang

Publication date: 6 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.01189

zbMATH Keywords

risk managementvolatility forecastingrobust loss functioncrypto marketHuber minimization

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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