Modelling and forecasting noisy realized volatility
type: Item
instance of: scholarly article
title: Modelling and forecasting noisy realized volatility
zbMATH Open document ID: 1241.91135
author: Manabu Asai
author: Michael McAleer
author: Marcelo C. Medeiros
published in: Computational Statistics and Data Analysis
publication date: 2012-06-20T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6048228
zbMATH Keywords: realized volatility
zbMATH Keywords: diffusion
zbMATH Keywords: financial econometrics
zbMATH Keywords: measurement errors
zbMATH Keywords: forecasting
zbMATH Keywords: model evaluation
zbMATH Keywords: goodness-of-fit
MaRDI profile type: Publication
full work available at URL: j.csda.2011.06.024
OpenAlex ID: W3125037581
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DOI: 10.1016/J.CSDA.2011.06.024
description: scientific article; zbMATH DE number 6048228