Do high-frequency measures of volatility improve forecasts of return distributions?

DOI10.1016/j.jeconom.2010.03.016zbMath1441.62805OpenAlexW3125917875MaRDI QIDQ737263

Thomas H. McCurdy, John M. Maheu

Publication date: 10 August 2016

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

Full work available at URL: http://www.rcea.org/RePEc/pdf/wp19_09.pdf

zbMATH Keywords

stochastic volatilityrealized volatilitymultiperiod out-of-sample predictionterm structure of density forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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