Box-Cox transforms for realized volatility

DOI10.1016/j.jeconom.2010.03.026zbMath1441.62706OpenAlexW2059353207MaRDI QIDQ737272

Sílvia Gonçalves, Nour Meddahi

Publication date: 10 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.026

zbMATH Keywords

Edgeworth expansionsBox-Cox transformationrealized volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Out of sample forecasts of quadratic variation ⋮ Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions

Cites Work

• Unnamed Item
• Effects of transformations in higher order asymptotic expansions
• Asymptotic error distributions for the Euler method for stochastic differential equations
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Bootstrapping Realized Volatility
• On the Formulation of Wald Tests of Nonlinear Restrictions
• Power Transformations to Induce Normality and their Applications
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
• The bootstrap and Edgeworth expansion

This page was built for publication: Box-Cox transforms for realized volatility